tag:blogger.com,1999:blog-7893017024374640348.post5123310245819226137..comments2023-06-06T09:27:10.646-07:00Comments on Munchies and Media: Queries Per Second - RTB ComplexitiesUnknownnoreply@blogger.comBlogger2125tag:blogger.com,1999:blog-7893017024374640348.post-30234830234246927372011-08-08T08:53:37.892-07:002011-08-08T08:53:37.892-07:00This specific issue isn't replicable in princi...This specific issue isn't replicable in principle within these exchange frameworks and I am happy to go into why if you see value in that but the point you bring up is a real one. Technology can now impact market price and activity. I have been thinking about and how people could "game" the system and I am in agreement that this is something the media industry must be very careful with in the coming months. Happy to discuss some of these thoughts and principles but prefer it be offline and not on comment thread.Johnny Godzillahttps://www.blogger.com/profile/03738154944308282590noreply@blogger.comtag:blogger.com,1999:blog-7893017024374640348.post-13342999076733281852011-08-06T12:33:27.717-07:002011-08-06T12:33:27.717-07:00Hey sweet cheeks, are RTB exchanges vulnerable to ...Hey sweet cheeks, are RTB exchanges vulnerable to manipulation like HFT or is this apples & oranges?<br /><br /><a href="http://www.nanex.net/20100506/FlashCrashAnalysis_Part4-1.html" rel="nofollow">http://www.nanex.net/20100506/FlashCrashAnalysis_Part4-1.html</a><br /><br />While analyzing HFT (High Frequency Trading) quote counts, we were shocked to find cases where one exchange was sending an extremely high number of quotes for one stock in a single second: as high as 5,000 quotes in 1 second! In many of the cases, the bid/offer is well outside the National Best Bid/Offer (NBBO).<br /><br />Volume of these erroneous quotes can be enormous on any given burst or sequence and can last anywhere from a few hundred milliseconds to a few entire seconds.<br /><br />If each reporting exchange for each stock quoted at 5,000 per second this would work out to 180,000,000 quotes per second.<br /><br />Our recommendation for a simple 50ms quote expiration rule would eliminate quote-stuffing and level the playing field without impacting legitimate trading.Anonymousnoreply@blogger.com