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HFT Timeline


December, 2009

We thought it would be helpful to have a reference depicting the market, its volume level,  and market structure changes for the past 14 years or so.


This is a SPY monthly chart, with corresponding volume in the lower frame. Note the increase in volume after decimalization, and the drastic spike in volume starting with REG NMS in 2007.

One Response to “HFT Timeline”

  1. Brennan Carley


    Can you clarify the point you are trying to make? It isn’t clear.

    While the graph is interesting, if you do the same chart for 1990-2000, you see a similar pattern. In fact, if you zoom in on 1997-2002 you also see a similar pattern. This is actually a common problem with visual charts of exponential growth phenomenon… On the chart the early period looks flat and the BOOM it explodes upward… A classic example is lily pad growth in ponds, which seem to come from nowhere overnight, but actually grow exponentially. For a good treatise on the subject, read “The Tipping Point” by Malcolm Gladwell, or take a look at

    I trust you remember October of 1997, when we were all dealing with capacity constraints on the Instinet system. At the time there were some who were saying that volume growth was being caused by this on-time factor and that on-time factor, and didn’t want to invest in major system upgrades. I kicked off a study with the Financial Information Forum, which we eventually presented to the SEC, that showed that long term volume growth was pretty predictable and followed an exponential model, and that there were large (but also predictable) variations around the long term trend. We also forecast probabilities of specific volume days. I will send you the presentation we did to the SEC.

    So when I look at the chart in this post, to me it looks just like any chart over any sufficiently long time period showing US Equity market volumes… i.e. exponential growth with noise around the long term trend.

    I’m probably missing something, so would love to hear what you had in mind with the chart.


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