"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

Monday, February 13, 2012

HFT Party Closes Crude Complex

UPDATED at 2:57 PM Eastern Time:

From the CME website:
In a weird twist, crude oil complex is shut down (quote stuffing)?  Clearly this is a computer gone wild.  Compare this with Nanex's release regarding the crossed systems from Nasdaq and NYSE this morning and we have ourselves a wonderful computer driven market.

Image from ZeroHedge

And here is the FedEx attack:

FEDex Tick chart.  Notice the the run up in price between 9:36 and 9:37

Nasdaq Trading Through NYSE Example
According to a system status message on February 13th 2012:
NASDAQ, NASDAQ BX, and NASDAQ PSX would like to advise their customers of an issue that took place earlier today. Because of an internal issue, all three markets would not have protected the New York Stock Exchange (N) quote from 09:30:00 ET until the issue was resolved at 09:40 ET. As a result, it is possible that some orders could have traded through, or not have been routed to, the NYSE quote when it was at the inside.
Here is an example.

10 millisecond chart of Fedex (FDX) showing Nasdaq quotes (black shading), Nasdaq trades (black circles), NYSE quotes (blue shading) and NYSE trades (blue circles). 

And for those who missed the HFT Party headline, enjoy this tune.