NYSE Issues Correction, Goldman PT Volume Double Of Second Broker
The NYSE has officially released the correction for its lapse in reporting Goldman Sachs' program trading numbers last week.
NEW YORK , July 7, 2009 --The New York Stock Exchange today issued a correction of the program-trading-data press release issued on Thursday, July 2, 2009. Due to an NYSE system error, Goldman, Sachs & Co. was inadvertently omitted from the chart of most active firms, but the firm’s program activity was included in the total level of programs as a percentage of NYSE volume, which remains unchanged at 48.6 percent. Certain of the other data are revised on the press release below, and on the attached chart, incorporating the omitted data as well as subsequent minor corrections relating to other firms.The data indicated that during June 22-26, program trading amounted to 48.6 percent of NYSE average daily volume of 3,449.8 million shares1, or 1,675.7 million program shares traded per day (Revised from 1,678.3 million program shares traded per day).
Program trading encompasses a wide range of portfolio-trading strategies involving the purchase or sale of a basket of at least 15 stocks.
In all markets, program trading by member firms averaged 4,896.3 million shares a day during June 22-26 (Revised from 4,898.9 million shares a day). About 34.2 percent of program trading took place on the NYSE (Revised from 34.3 percent of program trading), 0.3 percent in non-U.S. markets and 65.5 percent in other domestic markets, including Nasdaq, NYSE Amex and regional markets.
1 The NYSE calculates program trading as the sum of shares bought, sold and sold short in program trades. The total of these shares is divided by the sum of shares bought, sold and sold short on the NYSE including its crossing sessions.
Contact: Ray Pellecchia
Phone: 212.656.2001
Email: rpellecchia@nyx.com
Here
is the corrected PT report for the Russell rebalance week. How a
"system error" can lead to the drop of the firm that traded nearly 3
billion shares, yet have the Goldman numbers actually flow thru for aggregation purposes, is an open question. 
Zero Hedge appreciates the NYSE's efforts in bringing transparency to
the high-frequency trading markets and in fixing flawed information.
Granted, one would be tempted to inquire just what other reported data
the specified "system error"
may have rendered completely useless, and whether this "system error"
was also pertinent in the unprecedented extension of last Thursday's
trading session. However, Zero Hedge knows not to push its luck:
however, we can hope that in due course, all relevant information will
eventually surface.
(17 votes)
on Tue, 07/07/2009 - 16:09
#5185
Tyler do you still have a copy of the original report?
on Tue, 07/07/2009 - 16:11
#5187
The only thing I have where I am now is a whole lot of cow manure.
on Tue, 07/07/2009 - 16:14
#5188
It might be interesting to see what "minor corrections" they made to other firms.
on Tue, 07/07/2009 - 16:25
#5191
It is on the original entry, I recommend you to get it from the old blog because there you can click on the figures increasing their size. A nice feature to export to the improved blog ...
graphics here are barely readable.
http://zerohedge.blogspot.com/2009/07/is-case-of-quant-trading-industria...
on Fri, 07/10/2009 - 06:54
#5880
click the image to enlarge it. moron
on Tue, 07/07/2009 - 16:27
#5192
Thanks.
The only other change I see is for Citigroup: revised down from 336.0 total to 323.3
on Tue, 07/07/2009 - 16:31
#5193
Hey Tyler, did you try their 140 proof double distilled moonshine? It's crazy stuff, but it might be something "the real" Tyler Durden would have appreciated (assuming my geography is not so crappy and you are where I think "Europe's last bison country" is).
on Tue, 07/07/2009 - 17:48
#5214
That would be Poland.
I hope TD is visiting family, because otherwise he will be bored stiff.
I can't find the excitement of the Polish countryside. Nice people, pretty girls, good food, but terribly plain. (no offense intended)
Spyritus is strong stuff...prefer absinthe
on Tue, 07/07/2009 - 17:37
#5217
I had no idea you are in upstate NY! Drop me an email, i'll give you my address, you can visit, have coffee, help me figure out this computer code that i recently came across
on Tue, 07/07/2009 - 18:25
#5227
Cow manure, otherwise known as bullshit.
So you're lunching with Lucas Van Pragg where?
on Tue, 07/07/2009 - 22:28
#5276
isn't that pretty much what you have wherever
you are? :D
on Tue, 07/07/2009 - 16:15
#5189
Inconceivable that this was anything but an error. How could they expect to hide the GS elephant by simply omitting them?
Better look elsewhere for the real villainy.
on Tue, 07/07/2009 - 16:22
#5190
Just because you can't conceive why this was done doesn't make it not true.
Of course, it doesn't make it true, either. But, to me, a "system error" is a really weak excuse for a system that has been operational for years and years and hasn't, to my knowledge, made any kind of mistake like this before.
on Tue, 07/07/2009 - 19:23
#5236
No , I think it does make it true.
Since the chance of omitting Goldies trading slipping by unnoticed and unexplained was ZERO (no pun intended) , then unless you think NYSE are idiots, this was not deliberate.
Let's not be distracted by straw men or the MJ funeral. There's work to be done.
on Tue, 07/07/2009 - 20:40
#5260
What does the NYSE have to gain by doing this? I'm at a loss...
on Wed, 07/08/2009 - 17:13
#5445
Maybe their trading program has been compromised. Bought themselves some time to pull Goldman's numbers together. After all, GS's quant trading program was stolen and the French hedge fund manager that uses the NYSE trading technology is now dead in a gliding accident.
on Wed, 07/08/2009 - 03:02
#5321
Well, actually, ZH was the only one who seemed to notice originally so if it wasn't for this blog, than yes indeed it probably would have slipped by unnoticed.
on Tue, 07/07/2009 - 17:12
#5207
Zero Hedge obviously caught NYSE out doing GS's bidding and it was too much.....even for them the cold light of day is too revealing.
on Tue, 07/07/2009 - 17:19
#5209
That's a whole lot of trading. You think their real secret is collecting all those remove liquidity rebates?
on Tue, 07/07/2009 - 18:15
#5225
I've been noticing lately that the programs appear to be trading SPY at a 200,000 share/minute clip. When all other volume dies out, there always seems to be that 200,000 shares every minute. It's even more noticeable sometimes on the 5 minute chart. You'll see 6 or 7 identical bars in a row where volume is a tiny bit over 1,000,000 shares traded. This afternoon was a good example.
on Tue, 07/07/2009 - 18:17
#5226
24x7 infrastucture software like this, bank clearing, the electric grid, etc. are profoundly twitchy beasts. Tons of smart people dance as fast as they can, and that's why these systems stay up as much as they do.
Those dancing people? They don't know how more than half of the software works.
on Tue, 07/07/2009 - 23:41
#5294
Obviously, these reports are compiled for the NYSE by a part-time intern working on his/her break and are not subject to any kind of audit or checking before publishing. Probably a Windows Notepad file.
on Wed, 07/08/2009 - 11:24
#5380
This is probably the answer to why I sent my complaint in to FNRA regarding the trading in a symbol I watch closely ZF It is a $2.70 stock that has over 50% of the trades 2/10 of a penny in front of bid and ask when I can only execute at whole numbers. if I cannot trade at anything but a whole number why is someone else trading at 2.711 when I am bidding at 2.71 and they are getting 1000's of share executions. I am sure this is happening to thousands of stocks out there.
Andrew
on Thu, 07/09/2009 - 09:09
#5541
wholesalers, such as knight securities will execute an order better than the posted bid. if they feel they have an opportunity to make any portion of the spread. in the case of ZF it is thin and not too volatile, so an easy trade for a b/d to make if they are seeing large bid.
on Thu, 07/09/2009 - 10:00
#5549
The error was deliberate.
Tyler, where are you now,just curious. What are you doing with cow manure'. If you are in my side of the World, then do drop in for a cup of nice tea.
cheers
on Thu, 07/09/2009 - 16:27
#5664
Uhmm there is something else.
Why do they have to correct OTHER numbers when they FORGOT goldmans numbers.
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