I think this is really cool.
The bottom box (SIP) shows the National Best Bid and Offer. The shapes represent quote changes which are the result of a change to the top of the book at each exchange.
Watch High Frequency Traders (HFT) at the millisecond level jam thousands of quotes in the stock of Johnson and Johnson (JNJ) through our financial networks on May 2, 2013. 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. There is no economic justification for this abusive behavior.
Now now, I don’t think that last sentence is quite fair. First of all, this abusive behavior serves as gainful employment for thousands of parasites who might otherwise become debt collectors or personal injury attorneys or used car salesmen. At least this way nobody has to look at them.
Second, I have a soft spot in my heart for high-frequency traders because the very first research funding I secured while teaching at the University of Sydney was from an HFT firm. I wrote a grant proposal to build machine-learning algorithms in reconfigurable hardware and spent weeks kissing ass and turning tricks all over town. The shop finally threw me a few drops of funding to hire two graduate students.
That’s how a trickle-down economy works!