what do these images imply? what is nanex trying to say? http://www.nanex.net/FlashCrash/CCircleDay.html
i think the images imply a few things: 1) there are some firms out there with some pretty incredible resources doing some seemingly idiotic things. 2) there are some firms out there with some incredible resources that are doing some seemingly clever and/or manipulative things. 3) exchanges maybe need to tone down their peg update frequency. i think nanex seems to be impying 1&2 with a heavy dose of wtf.
The traders think the bots are just polluting the limit book. I don't see it that way. Its those rates that get me. When I see 3,300+ quotes per second I think that implies multiple connections, I remember FIX doing something like 300 quotes per second at best. Since the aggregate pattern of alot of these bots exhibit arithmetic and geometric progression I think that implies back-channel synchronization. If I was a guy running some kind of ultra-high-frequency strategies that really depended on massive synchronous access I would want to test that power (or rather characterize it) periodically in the security/exchange of interest and I would do that with arithmetic or geometric progressive loopback tests far out of the money. I say these are just loopbacks and that the real action of these bots in the money does not make detectable patterns. They are just flexing their muscles in a self-recognizable way to verify/characterize their synchronous access. It is interesting. The answer to "who looks at millisecond charts?" seems to be "lots of people".
@377.... it's a logical theory, but a couple points. fix can do at least 2k orders/sec. my last executing broker with a very inefficient implementation could push 1k per second no problem. real hft firms though aren't using fix. they're writing directly to the exchange specific api's. arcadirect can handle 5k/sec with acks in the microseconds. other exchanges are as, if not more, competitive. as far as your comment on the patterns being out of market tests... look at those charts again. most of those are happening on the nbbo. and ALL of them are happening on the particular exchanges bbo.