Monday, May 13, 2013

How Half a Second of High Frequency Stock Trading Looks Like

How Half a Second of High Frequency Stock Trading Looks Like

"The movie shown below, developed by a real-time trading software developer Nanex, shows the stock trading activity in Johnson & Johnson (JNJ) as it occurred during a particular half a second on May 2, 2013.

Each colored box represents one unique exchange. The whote box at the bottom of the screens shows the National Best Bid/Offer, which often drastically changes in a fraction of a second. The moving 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, which is slowed down to be able to better observe what goes on at the millisecond level (1/1000th of a second)."

I'm still not sold on the value of HFT.

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