Growth of High Frequency Quote Spam in the Stock Market
2 millisecond peak message traffic for every 10 minute period between market open (9:30) and close (16:00)
in Tapes A and B (CQS) for each trading day from September 2009 through
September 13, 2013. CQS, the consolidated quote data feed carries
quotes for NYSE, NYSE-Mkt, and NYSE-Arca listed securities.
The vertical scale is in quotes per second which was at 1000/second
in 1999, and is now approaching 2 million/second. The gaping is when
network capacity was increased.
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