"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, April 16, 2012

Good Luck Human

Another case of Man versus Machine, this time on news of Merck paying upwards of $1 BN (an Instagram) to Endocyte for its cancer drug.  Merck plans to pay $120 MN up front and another $880 MN whenever certain "milestones" are met.

What you saw:

HFT Alert picked up the High Quote Counts:

What happened in the blink of an eye (h/t @BadAlgo):
ECYT 1 second interval chart. Chart shows 17 minutes of data.

The green arrow points to where the wild price oscillation occurred. The NBBO is plotted in black for a normal market, yellow if bid equals ask and red if bid is greater than ask.

ECYT 25 millisecond chart. Chart shows 26 seconds of data.
At this resolutiuon, we can see the wild oscillation.

 ECYT 5 millisecond chart. Chart shows 5 seconds of data.
Note the quote rate exceeds 10,000/second when the NBBO is crossed during the first drop (red shading).