"We risk becoming the best informed society that has ever died of ignorance"
- Rubén Blades

"You can't make up anything anymore. The world itself is a satire. All you're doing is recording it"
- Art Buchwald

"It's getting exciting now, two and one-half. Think of everything we've accomplished, man. Out these windows, we will view the collapse of financial history. One step closer to economic equilibrium"
- Tyler Durden

"It is your corrupt we claim. It is your evil that will be sought by us. With every breath, we shall hunt them down."
- Boondock Saints

Tuesday, October 18, 2011

It's A Boon - Not A Boogie Man!

@BadAlgo tweeted around 15:45:00....

Which linked us to...


And after some studious work his team released this....

From NANEX:

On October 18, 2011, an unusual even occurred in the stock UNG. From 15:06 EST through 15:56 EST there were 13,167 Average-Price trades, each one immediately followed by an exchange message that canceled the trade. The trades appeared at a rate of 4 to 5 per second, and each trade was canceled before the next trade appeared. Systems that don't process canceled trades as they occur (many do this in batches to conserve precious time) may have been fooled into thinking there was more activity than really existed. Perhaps this is an algorithm's attempt at painting the tape? Or maybe someone decided it was OK to run a test during a very active market? It might also just be malfunctioning code. Regardless of the intent, events like tells us there can't be many software certification check points along the way to a release candidate. Shouldn't software that could impact prices like this be ISO 9000 certified? 

The following pattern repeated from 15:06 EST through 15:56 EST

;Symbol|NxCoreTime|ExgTime|Exg|Price|Size|Sequence#|Condition
UNG   |15:07:03.475|15:07:03|NQEX|   8.6950|   500|   468485|AvgPrc
UNG   |15:07:03.575|15:07:03|NQEX|   8.6950|   500|   468485|Cancel
UNG   |15:07:03.675|15:07:03|NQEX|   8.6950|   500|   468507|AvgPrc
UNG   |15:07:03.775|15:07:03|NQEX|   8.6950|   500|   468507|Cancel
UNG   |15:07:03.825|15:07:03|NQEX|   8.6950|   500|   468509|AvgPrc
UNG   |15:07:04.025|15:07:03|NQEX|   8.6950|   500|   468509|Cancel
UNG   |15:07:04.050|15:07:04|NQEX|   8.6950|   500|   468517|AvgPrc
UNG   |15:07:04.200|15:07:04|NQEX|   8.6950|   500|   468517|Cancel
...
...
...
UNG   |15:56:23.200|15:56:23|NQEX|   8.6950|   500|   648723|AvgPrc
UNG   |15:56:23.400|15:56:23|NQEX|   8.6950|   500|   648723|Cancel
UNG   |15:56:23.425|15:56:23|NQEX|   8.6950|   500|   648746|AvgPrc
UNG   |15:56:23.625|15:56:23|NQEX|   8.6950|   500|   648746|Cancel


Let's see the SEC move that quickly to inform us of market weakness!
Posted by Paul Revere at 10/18/2011 06:30:00 PM