"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, October 15, 2012

Smucker's 2.09% Mini Flash Crash Inside Of 2.5 Seconds

At 14:21:14 Smucker's was hit with an algorithm that drove the price down from $83.75 to $82, a mini flash crash of 2.09%.  I called their Investor Relations department and spoke to a woman who confirmed there was no news release.  Surprisingly she laughed as I asked her what happened (I knew what happened full well thanks to HFT Alert) and if I were a long-term holder of equity assets I would have sold my holding immediately.  The sheer ignorance of laughing when, as far as she knew, she was talking to SJM investor is completely unacceptable and anyone holding SJM ought to be fearful when the companies Investor Relations lady just laughs at a 2%+ change in price in 2.5 seconds. 

What you saw:

What I saw:

Number of stocks with HFT Algorithmic Sequences by reporting exchange:

At 14:21:14 HFT Alert picked up the first of two sequences:

HFT Alert Pro showed the sequence lasted for 5 seconds:

Nanex's data shows PHIL exchange took 202 quotes per trade.  Note on the first that at 14:21:15.500 and 14:21:15.875 there are two clear trades at the $82 level while simultaneous trades at $82.23 (give or take penny given the spacing on their charts) and $83.00 were made, respectively. 


1. SJM 5 millisecond interval chart showing trades color coded by exchange.

2. SJM 1 second interval chart showing trades color coded by exchange.

3. SJM 1 second interval chart showing bids and asks color coded by exchange.

4. SJM 25 millisecond interval chart showing bids and asks color coded by exchange.