Tag Archives: Highfrequencytrading

What does one half second of trading look like?

Great piece in Smithsonian.com which covers work done by Eric Hunsader at NANEX.

NANEX produced a great video which shows one half second of JNJ order flow. It was slowed down so we can visualize the flow and see fast the top of book changes at each exchanges. Make sure to watch in HD and full-screen to improve the experience:

According to Eric Hunsader:

Each box represents one exchange. The SIP (CQS in this case) is the box at 6 o’clock. It shows the National Best Bid/Offer. Watch how much it changes in a fraction of a second. The shapes represent quote changes which are the result of a change to the top of the book at each exchange. The time at the bottom of the screen is Eastern Time HH:MM:SS:mmm (mmm = millisecond). We slow time down so you can see what goes on at the millisecond level. A millisecond (ms) is 1/1000th of a second.

This video was part of Mr. Hunsader presentation at the Wired conference.

Struggling HFT Firms Focus On New Technologies – Wall Street & Technology

Take it from Norm Peterson,

It’s a dog eat dog world, Woody and I’m wearing Milk Bone underwear.

Based on this piece from Melanie Rodier at WS&T, this is pretty how much how a lot of High Frequency fund managers are feeling these days. The drastic slowdown in equities and the low volatility has taking a toll on them:


Isn’t HFT Getting A Little … Nuts? – Wall Street & Technology

Greg MacSweeney

via Isn't HFT Getting A Little … Nuts? – Wall Street & Technology.

A nice article where Greg asks when the technology and costs will become too much compared to revenue for HFT for firms to continue participating in the game and/or stop joining in.

As the techno needs increase, we also have to keep in mind costs drop drastically for certain technologies. Some setups, only possible for large institutions are now available to more players. This changes the landscape as well.