Yesterday, November 1st, we noticed quite a bit of quote spamming in names like BAC, YHOO, SIRI and KEY. We weren’t the only ones that noticed this -our good friends at Nanex tabulated the quote/trade ratio and also were alarmed. They wrote up their findings in this post “The Denial of Service Algo”.
“On November 1st, there were 369 seconds where the number of quotes in BAC exceeded 17,000; a total of 6.6 million quotes. During those seconds, only 1,879 trades executed. Between market open (9:30am) and 12:45, BAC had 7.8 million
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