"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

Friday, March 23, 2012

What You Saw In Apple And What We Saw

Here's a 1-minute Apple chart from 10:57 this morning.  Remember this quoting just days ago?:

From @BadAlgo here is the zoom of the Stub Quote:

UPDATE 03/25/2012:
On 03/22/2012 there was a similar style of behavior when the BATY was quoting AAPL 20% outside its last known price:
The following chart is of Apple (AAPL) on 03/22/2012, one day prior to a quote/trade (executed on the BATS-Y exchange) halted trading in AAPL. While the bad trade on 03/23/2012 may have been a random event, the chart below shows that BATS-Y was consistently quoting 20% away from the NBBO the day prior.

For those of you unfamiliar with the SEC stub quote band, a good refresher can be found here
The Legal Limit Algo and here Stub Quote Rule Violations.

The quotes shown below are within the NBBO banding boundaries for AAPL during the first 15 minutes of trading (20%), so there is no rule being broken. However, quoting far outside the NBBO range is quite common and it is surprising to see reports of the AAPL halt being a one time error that can't happen again. With quoting like this, what's surprising is that is does not happen every single day!

In the chart below, the red lines represent ask prices from the BATS-Y exchange and the blue lines represent bid prices from the BATS-Y exchange. Note the prices jumping from the NBBO (were trading is occurring, represented by white dots) to 20% away from that level and then back. The 20% NBBO banding range is shown as a pink line for the ask side and a green line for the bid side. 

And the BATS went public then crashed:

Zoom scale of the BATS drop: