Exclusive: Presenting The Flash Crashes Of 2010 - Part 1

Tyler Durden's picture

In an exclusive collaboration between Nanex and Zero Hedge, we are pleased to present to our readers the first part of a multi-series project that will demonstrate the flash crashes of 2010, and subsequently, of 2009 and 2008. The concern is that since the number of mini crashes, precipitated in most part by HFT algorithms gone wild, is simply staggering, it is impossible to present all the individual events in one presentation due to size limitations. The reason - there have been 549 "flash crash" events in 2010 to date alone! We dare anyone at the SEC to go through this list and look anyone in the eye and tell them that i) the market is not broken and ii) that High Frequency Trading is not a major scourge to proper and efficiently operating markets. And while we do not want to take away from the recent uproar at ETFs, courtesy of the Kauffman foundation (and its chairman who as we presented earlier has a rather sizable conflict of interest in DST Systems, Inc) none of the presented 549 crashes are ETFs implicated: this is (mostly) all HFT, baby, all the way.

Without further ado, we present the first part of our joint presentation: the mini flash crashes of Q1, all 112 of them. As there are 64 work days between 1/1/2010 and 3/31/2010 (excluding holidays) this amounts to 1.75 mini crashes per day (and wait until you see Q2). And this is a market that the SEC would like to have you believe is perfectly operational...

The crashes are presented in chronological order.

We urge readers to distribute this report to friends and relatives, as we hope that people can finally understand what a complete and broken scam the US stock market is. That said, we expressly prohibit the creation of "per click" slideshow decks out of the underlying data.

The Flash Crashes of 2010 - Q1 (pdf)

 

Q1 Flash Crashes

Comment viewing options

Select your preferred way to display the comments and click "Save settings" to activate your changes.
Vampyroteuthis infernalis's picture

ZH has been good at pointing out these little...hmmm....anomalies. There is an easy way to fix this f*cking mess. Unplug the supercomputers and bring back the pits like old days. My guess is this is too easy of a solution, thus, it will not be done.

agrotera's picture
you cant massively scam people with fractions....when we converted to the decimal system, this could have been foreshadowed...and same for the revocation of Glass Stegall--you can't utilize depositors money to leverage bets to get bailed out by the taxpayers and those depositors if Glass Stegall is in place.
Atomizer's picture

Pretty self explanatory.

During the decade, the division also pursued serious color of law and civil rights violations, as well as organized crime groups. In 1991, a joint FBI/IRS investigation led to the indictment of several active and retired Detroit police officials on charges of embezzlement, obstruction of justice, and income tax violations. The next year, FBI Detroit investigated a serious arson case that targeted an African-American resident of Battle Creek, Michigan. And in 1996, the division’s five-year undercover investigation called GAMTAX culminated in the indictment of 17 members of the Detroit mob—nearly its entire hierarchy—on charges of illegal gambling, loan-sharking, extortion, and acts of violence in support of those crimes. By 1998, Detroit boss Jack Tocco and several of his most important assistants had been convicted.

Following the events of 9/11, the Detroit Division shifted its focus to countering terrorist threats and strengthening its intelligence capacities. Working closely with the local Muslim communities, it has worked to identify extremist threats and to prevent retaliatory hate crimes against Michigan residents.

With a century of service under its belt, the Detroit Division is committed to using its full range of skills to protect and defend the citizens, businesses, and communities of Michigan in the years ahead.

http://detroit.fbi.gov/history.htm

thesnark's picture

Can someone please help me understand these charts better?

Are we looking at NBBO? Which side? both? I assume that the colored circles denote bid/ask size, is this correct?

 

Thanks

Jadr's picture

+1

I'm pretty curious as well as to how to correctly interpret the different colored circles and squares on the charts.

trav7777's picture

WTF is the point of this big assed analysis?

IT'S WADDELL & REED, BITCHEZ

lizzy36's picture

Because it is relevant, and funny as hell:

WASHINGTON (Dow Jones)--The circuit-breakers put in place after the flash crash to prevent price swings in stocks have been effective, but could still use some tweaks, Securities and Exchange Commission Chairman Mary Schapiro said Tuesday.

Schapiro discussed the SEC's response to the May 6 flash crash late Tuesday in a speech at Northwestern University's School of Law.

After the crash, the SEC put in place stock-by-stock and market-wide circuit breakers that halt trading for five minutes if a stock plunges by more than 10% in five minutes.

"The circuit breakers have been triggered 15 times since being put in place. And while we are likely to modify them based on our experience, we believe they have worked well to protect investors who rely on the financial markets price discovery function and to limit the effect of erroneous quotes," Schapiro said in prepared remarks

Glass Steagall's picture

"..they have worked well to protect investors who rely on the financial markets price discovery function.."

 

"..and to limit the effect of erroneous quotes."

Fraud-Esq's picture

Tyler Durden....

This is how the entire backdating options lawsuits started, someone simply decided to do the math. The most amazing thing about the backdating lawsuits is they were born in one man's simple "WTF is going on here analysis". 

The next step is WHO, how and how do you identify the tort victims?? 

fuu's picture

Pretty sure the fall of Enron started with one person doing the math and asking, "Wtf is going on here?".

Fraud-Esq's picture

right! Problem is... someone has to be damaged and sue. In Enron, no one could sue besides .gov until it was too late. With backdating and flash crash, you can pinpoint the "damaged" as a shareholder in a date range or in Tyler's case, a specific moment. perhaps someone who sold due to price manipulation? That's a tough one, could be the perfect tort. The damaged would have had to make the decision to sell, whether pre-programmed, limit or whatever the case. So, they would have to argue that someone defrauded them to create that price-point and it didn't reflect "the true market" at that time. (bring in the competing experts). So, is that action illegal? Is it civil fraud? MM's do it everyday on the dark markets. It's as if our major markets are behaving like the OTCBB, but not because of MM's but outside pirates. I don't know enough about the particulars, but it sounds interesting to me. Arbitration clauses wouldn't cover suits against third parties. If I knew one person who lost money in these flash crashes, I could have fun with it.

 

 

tony bonn's picture

oh how i love the smell of horse shit, dead fish, rotten eggs, and decomposing corpses in the morning. and the establishment butt lickers will deny the phenomenon just like they did the missle fired last night....you can count on the establishment liars to keep lying till their teeth rot.

beanieville's picture

I think flash crashes were due to too many scared traders, who read a lot of ZeroHedge doom-on-you articles.

bania's picture

Would it be possible for a few firms to engineer a massive flash crash (i.e. 10x the size of May 6th), taking the Dow down to 2,000 (just picking a number) in an extremely short period of time so when the stop losses kick in the stock price is 50%-90% below the stop loss level and therefore wiping out individual investors and mutual funds.  The buyers at the bottom of course would be the firms engineering the wipe out.

Is such a scenario (i.e. the largest bank robbery in the history of the planet) plausible or are there mechanisms in place to prevent this from happening?  Can anyone with professional trading experience comment on this?

Cognitive Dissonance's picture

In my opinion anything is possible when liquidity is withdrawn all at once. Though I suspect the markets would be closed as quickly as possible.

I think the more important issue here is, would there be prosecutions? The answer is NO because it all falls under the "national security" banner.

scratch_and_sniff's picture

All it would take is for a small handful of HFT firms in cahoots, and they could easily shut the entire market down for the day. Its possible, but you have to ask yourself, why would they do it? Most of these crashes above probably arose from a misunderstanding about the market the programs were deployed in, i am sure when the programmers seen what their algo's did they probably shit themselves. But the thing is, there should be real concern when it happens this often, because one day the programmers will stop shitting themselves and start saying, hummmmm. It's at this point the SEC will either need to ban HFT altogether or employ another few thousand staff.

johngaltfla's picture

Thanks TD and company. I've downloaded this and now it's time to track the performance of the stocks in question heading into year end. I'm wondering if the pump with garbage scenario will fizzle soon and we'll roll over severely if nothing is done with capital gains tax reform.

rcaldwell00's picture

Tyler, great advertisement, Eric nice work brother.... 

gnap's picture

I noticed that the FINANCIALS chart shows 2 flashes on November 9th.

Around 10:30am it flashed down 20% and around 3pm it flashed down close to 15%.

I have not studied the FINANCIALS charts to know if these blips or common or not.  Any thoughts?

privet's picture

This is great.  However, I think it might be better if the average daily volume of each stock was posted on each page, and possibly better still if the list was sorted by volume.  It seems to me that flashes in very small volume stocks could be caused simply by, say, someone dumping a few hundred shares at market.  Flashes in high volume stocks on the other hand, especially in the absense of news as you define them here (2nd suggestion : make this clear in your presentation), suggest, to me at least, a system instability.