a symbol

next step is to look at the traffic on a single symbol. Heres the same 1sec, 10ms, 1ms charts for MSFT. theres some signal in there somewhere but the signal to noise ratio is going way down. processing wise say a max of 1000 orders / sec means a whopping 1000us / message... which is a hell of alot of time.

1 horz pixel = 1 sec

1 horz pixel == 1 sec

breaking it into 10ms bins it gets increasingly chaotic such that there`s little if any sort of pattern. Probably the only clear thing is spikes are x10 the average, which im guessing is the hifreq guys pouring orders into the market. or alternatively might just be large trade activity broken into randomly sliced bins, with bursting orders, thus the  large spikes.. in anycase need to break it out into price levels + volume to work out whats actually happening on these order spikes.

1 horz pixel == 10ms

1 horz == 10ms

drilling down to the 1ms level and at the number of orders issued, hard to find much signal and its basically noise.

1 horz pixel = 1ms

1 horz pixel = 1ms