"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, May 4, 2012

Masterpiece Theater

Come one, come all!  Step right up!  For tonight's show we bring to you, the amazing, and stupendous nonsense of bad algorithmic computer trading.  This monster has the capabilities of destroying the strongest of the investment giants with a roar so loud the tight spreads run away.  It slays uninformed traders with incredible fury, with an ability to strike fear into the mind of the most experienced Alpha hunter.  

Ladies and Gentlemen I bring to you....

From depths of some physicists black hole....

The "Paint-Brush" algo....

(h/t @BadAlgo)
CAE - Credit Suisse Nassau BRH VelocityShares 3X Long Brent
47 Seconds, 73,245 Quotes, 0 Trades

To make this a real circus, let's make this the second act:

Nanex ~ 04-May-2012 ~ UOIL Wild quotes

Looking at quotes on the stock symbol UOIL (an oil related ETF) makes us wonder who in their right mind would allow this.

If you wanted to buy this "stock", the price could change from $48 to $73. Suddenly.  For no economic reason whatsoever.

And it does this every few seconds.

There are exactly zero trades during the 90 minutes shown in the charts below..

UOIL 5 second interval chart showing best bids (up triangles) and best offers (down triangles) color coded by exchange. The thin gray line is the quote spread. 

UOIL 5 second interval chart showing all exchange bids (up triangles) and offers (down triangles) color coded by exchange.