Take a look at the images below, which show just how much, and how quickly trading has change since 2007. We sifted through 1,152 trading days of U.S. Equity data, from January 2007 through August 16, 2011, and plotted this data for each minute of the trading day. There were 513 billion quotes and 34 billion trades, during regular trading hours. The time scale indicates the hour or minute in Eastern Time (Military format). Charts are colored by date according to the legend, which shows dates in the format M/YY (so 8/11 indicates August 2011). The most recent data on all the charts is colored red, with older data using colors towards the blue end of the spectrum. Click on any of the charts for the full resolution image.
Note the significant changes from late 2009 (light green/aqua-marine).
The below chart shows the one-second peak quote rates. Note how the spikes at 10am, which were driven by significant news events in years past, pale in comparison to normal trading today. Those 10am events would always saturate and overload quotation systems. They still do, but at much higher levels.
You can see that the rates in 2007 (way at the bottom of the chart in black) were about 100 times lower than the peaks of today.
One-Second Peak Quote Rates
MORE SOBERING DATA HERE
Publication Date: 08/18/2011
http://www.nanex.net
This report and all material shown on this website is published by Nanex, LLC and may not be reproduced, disseminated, or distributed, in part or in whole, by any means, outside of the recipient's organization without express written authorization from Nanex. It is a violation of federal copyright law to reproduce all or part of this publication or its contents by any means. This material does not constitute a solicitation for the purchase or sale of any securities or investments. The opinions expressed herein are based on publicly available information and are considered reliable. However, Nanex makes NO WARRANTIES OR REPRESENTATIONS OF ANY SORT with respect to this report. Any person using this material does so solely at their own risk and Nanex and/or its employees shall be under no liability whatsoever in any respect thereof.
Note the significant changes from late 2009 (light green/aqua-marine).
The below chart shows the one-second peak quote rates. Note how the spikes at 10am, which were driven by significant news events in years past, pale in comparison to normal trading today. Those 10am events would always saturate and overload quotation systems. They still do, but at much higher levels.
You can see that the rates in 2007 (way at the bottom of the chart in black) were about 100 times lower than the peaks of today.
One-Second Peak Quote Rates
MORE SOBERING DATA HERE
Publication Date: 08/18/2011
http://www.nanex.net
This report and all material shown on this website is published by Nanex, LLC and may not be reproduced, disseminated, or distributed, in part or in whole, by any means, outside of the recipient's organization without express written authorization from Nanex. It is a violation of federal copyright law to reproduce all or part of this publication or its contents by any means. This material does not constitute a solicitation for the purchase or sale of any securities or investments. The opinions expressed herein are based on publicly available information and are considered reliable. However, Nanex makes NO WARRANTIES OR REPRESENTATIONS OF ANY SORT with respect to this report. Any person using this material does so solely at their own risk and Nanex and/or its employees shall be under no liability whatsoever in any respect thereof.
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