High Frequency Trading truly has an unfair advantage 

07/10/2013 - 00:00

Below are 562 charts of QQQQ  on October 10, 2008. These charts supplement those shown on this page. Each chart shows about 1 minute of time. Note, the symbol QQQQ was changed to QQQ on March 23, 2011.

Each chart plots trades and quote spreads from Nasdaq and PACF (NY-ARCA) exchanges. The NBBO, when crossed, is shown in red. Note that PACF's quote (blue) often mirrors Nasdaq's quote (gray), but is shifted to the right. This is because PACF's quote was lagging far behind quotes from Nasdaq and other exchanges. Other exchanges are  not shown for clarity (charts get cluttered quickly when including all exchanges). PACF's lagging quote is the source of almost all NBBO crosses shown in the charts below. Also note that PACF's trades almost always line up with Nasdaq trades, and occur before PACF's quote! This is solid evidence that High Frequency Traders were illegally receiving core quote information before the consolidated feed, which is exactly what the NYSE was fined for in September 2012.