Bad HFT Algo Blasts 2.5 Million Bogus Orders

On February 12, 2014, starting at 13:31 and running right up to market close, a high frequency trading (HFT) algo placed and canceled 5,000 to 30,000 orders per second in individual stocks and ETFs. Many seconds had more than 20,000 bogus orders.

There were 30 symbols affected: all beginning with the letter ‘O’, ‘P’, ‘Q’, ‘S’ or ‘T’. Not all stocks were listed on the same exchange, but as far as we can tell, these blasts of extreme quotes all had Nasdaq as the reporting exchange, which in interesting in light of the recent statement Nasdaq issued about the cause of the August 2013 blackout (more than 26,000 quotes per stock per second).

http://www.nanex.net/

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