One Half-Second Of High Frequency Trading Crazy, Scary [VIDEO]

1/2 second of High Frequency Trading activity in Johnson & Johnson (symbol JNJ) on May 2, 2013
This video was featured at Wired Business Conference (watch it now: http://fora.tv/2013/05/07/Nanex_CEO_E…)

Set to lowest resolution for an “artistic rendering”, or highest resolution for science.

The bottom box (SIP) shows the National Best Bid and Offer. Watch how much it all changes in just the blink of an eye.

High Frequency Trading

Watch High Frequency Trading (HFT) at the millisecond level jam thousands of quotes in the stock of Johnson and Johnson (JNJ) through our financial networks on May 2nd of 2013. The Video shows 1/2 second of time. If any of the connections are not running perfectly, High Frequency Traders can profit from the price discrepancies that result from it.

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.

Note how every exchange must process every quote from the others — for proper trade through price protection. This complex web of technology must run flawlessly every millisecond of the trading day, or arbitrage (HFT profit) opportunities will appear. It is easy for HFTs to cause delays in one or more of the connections between each exchange.

http://www.nanex.net/Research/IsNBBOI…

H/T Linkfest

The half second video which really lasts several minutes is embedded below: