In an effort to put more heat on the SEC and the pro-HFT community which hails this form of trading as an angel worthy of our worship, Nanex is offering a $10,000 check to whomever can produce a simple data set. This data is said to exist by not only the SEC but also Nasdaq along with an HFT firm that wishes to remain anonymous (imagine that).
On May 18th, 2012 Nasdaq went blank in reporting quotes and trades for all NYSE, AMEX, ARCA and Nasdaq’s own listed securities. The specific time period in question is from 11:29:52 to 11:30:09.
Chart 1. CQS (100 ms) showing quote rate from reporting exchange Nasdaq only.
Note how often Nasdaq sends 100,000 quotes per second. Going to zero for even 1 second during trading hours would indicate a problem.
Specifically Nanex states that the last reported quote/trade from Nasdaq’s messages on the SIP (Security Information Processor) was timestamped at 11:29:52.506. The next quote/trade message to be posted to the SIP was timestamped for 11:30:09.209.
All you have to do is provide Nanex with the data for all NYSE, AMEX, ARCA, and Nasdaq listed stocks as reported trough Nasdaq for the time period from 11:29:52.506 to 11:30:09.209.
Just to make this a little more sinister, that same day Facebook came online after Nasdaq butchered that whole IPO process at exactly 11:30:09.00.
The first seconds of [Facebook's] trading.
and the very next minute. Note the ISO (Inter-market Sweep Orders) at 11:31:33.
So give it a shot. You’ve got Saturday and Sunday right now to locate the data that the SEC, Nasdaq and at least 1 HFT firm claim exists. It’s worth the $10,000. See more here from the Wizards.