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Presenting The November 30th Rebalance Anomaly

Tyler Durden's picture





 

Anyone watching the close of the market last night will likely still be shaking off the hangover as we noted 'the most ridiculous' market movements occurred in the space of a few milliseconds. As ever, trusty investigator of all things ridiculous in equity markets, Nanex highlights a rather disturbing trend, now completed its third year, where volume compression simply breaks the market. On 11/30/11, quotes from Nasdaq suddenly stopped for about 20 seconds after another explosive close where multiple seconds worth of trading were jammed into the last second. However, trading at Nasdaq wasn't affected. This is yet another example of where direct feeds illegally give data to one group of subscribers ahead of the consolidated feed. Clearly, the NBBO was ignored. For the last 3 years (2009, 2010, and 2011), there has been unusually high trading activity in the final minutes of trading activity on the last trading day in November. We show one example stock in detail below (SPY). Human discounting of a known rebalancing event? No. Completely 'broken markets' that are driven by self-reinforcing and chaos-reverting algos? Yes.

Note, green filled circles are FORM-T trades (after hours). Blue filled is the market closing print. 

From 11/30/11...

 

Source: Nanex

 


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Sat, 12/01/2012 - 20:36 | Link to Comment SGS
SGS's picture

I dont know what this means my facebook page is not telling me what this means, what do I do?

Sat, 12/01/2012 - 20:42 | Link to Comment Sextus Empiricus
Sextus Empiricus's picture

Hold on... Lindsay Lohan got arrested again. I need to see this.

Did you see what Kim Kardashian was wearing at that ceremony?

Sat, 12/01/2012 - 20:46 | Link to Comment NewThor
NewThor's picture

Orion rebalanced somethings in our solar system

on 11-30-2012-1:20am Texas time,

when he held the Moon in his right hand and Jupiter

notched as an arrow in his bow in his left hand.

The bad guy tides won't last forever.

I wrote a song and made a video for this exact topic.

http://youtu.be/Jgb7XTF5M28

26000 year star alignments are awesome

Sat, 12/01/2012 - 21:17 | Link to Comment disabledvet
disabledvet's picture

not bad. reminded me of this song actually: http://www.youtube.com/watch?v=aHNQCdWOfdM
as you can here there's a certain "physicality" to this music...something i think you should work on...especially if you want keep posting cutie pies to your tunes. in other words "try and do it for 9 minutes"...so to speak. needless to say i highly doubt this song is going to win any competitions on any of those music shows on television these days. who knew it would lead to songs like this though: http://www.youtube.com/watch?v=BLKiMbC6s2k which according to wiki was a tribute to former band member Syd Barrett "who they didn't even recognize" when he came to the studio while they recorded it: http://en.wikipedia.org/wiki/Shine_On_You_Crazy_Diamond this song lasts ten minutes...in case any of you were wondering. "goes well with a bull market in equities" i might add.

Sat, 12/01/2012 - 23:21 | Link to Comment AlaricBalth
AlaricBalth's picture

An overwhelming majority of these events are due to aggressive use of Intermarket Sweep Orders (ISO's) by HFT's. These type of orders work against the order protection rule.

"An HFT submits a package of ISO-marked orders to exchange A and simultaneously sends ISO-marked orders matching the size of Protected Quotes to all trading venues quoting at the NBBO. ISO-marked orders rip through the order book at exchange A resulting in a Mini Flash Crash, despite the additional liquidity available deeper in the order book at other trading venues. "

Many other events occur due to auto-routing.

"In an auto-rerouted initiated Mini Flash Crash. A trader submits an order to exchange A and, as exchange A is not displaying the NBBO, the part of the order matching the size of the Protected Quotation at exchange B will be routed to comply with the Order Protection rule. Once the Protected Quotation at exchange B is cleared, the resulting balance of orders will be filled at exchange A regardless of the prevailing liquidity at other trading venues, resulting in a Mini Flash Crash."

This study released yesterday cites Nanex, and is quite informative concerning this issue.

High Frequency Trading and Mini Flash Crashes
Anton Golub, John Keane and Ser-Huang Poon
http://arxiv.org/pdf/1211.6667v1.pdf

Sun, 12/02/2012 - 11:48 | Link to Comment Joshua_D
Joshua_D's picture

I love some Floyd.

Sun, 12/02/2012 - 00:35 | Link to Comment q99x2
q99x2's picture

Kim Kardashian sucks. Olivia Cockburn Wilde is great in Deadfall. At times she doesn't wear much at all.

Sun, 12/02/2012 - 02:56 | Link to Comment CheapBastard
CheapBastard's picture

Celebrities, athletes and Wall Street Bankers reaped over 85% of the wealth growth during the last 8 years I read.

 

 

Sun, 12/02/2012 - 10:58 | Link to Comment robochess
robochess's picture

Well then become a celebrity, an athelete, or a banker or reapply for your food stamps.

Sat, 12/01/2012 - 20:40 | Link to Comment Sextus Empiricus
Sextus Empiricus's picture

Actually...

Watson took a break from Jeopardy and made a few billion trades, amassing trillions of dollars in seconds.

Oh wait, that's sorta like Goldman Sachs and the others.

Sat, 12/01/2012 - 20:40 | Link to Comment Tirpitz
Tirpitz's picture

Gotta stay long. From crash to crash.

Sat, 12/01/2012 - 20:51 | Link to Comment Global Hunter
Global Hunter's picture

In Canada now, if a small independent brokerage executes an order for an exchange listed stock on the very exchange that the company's shares are listed on while the same share price was bid/offer at a better price on one of about 7 other new fandangled exchanges in Canada then the regulators will come down on them with full fury.

I wonder if they'll be doing any investigations into the large Canadian bank owned brokerages that have direct access to the NASDAQ? 

Well I don't really wonder, pretty sure they won't.

Sat, 12/01/2012 - 20:55 | Link to Comment tooriskytoinvest
tooriskytoinvest's picture

Europe Is Heading Into A Full-Blown Depression, Entire Financial System Could Literally Fall Apart At Any Moment,  And It Will End Up Dragging The Entire Globe Down With It.
http://investmentwatchblog.com/europe-is-heading-into-a-full-blown-depression-entire-financial-system-could-literally-fall-apart-at-any-moment-and-it-will-end-up-dragging-the-entire-globe-down-with-it/

Sun, 12/02/2012 - 08:49 | Link to Comment Dr. Sandi
Dr. Sandi's picture

...in other late breaking news, the sun is expected to come up in the east again today. More details on our Daybreak Edition.

Sat, 12/01/2012 - 20:59 | Link to Comment Sextus Empiricus
Sextus Empiricus's picture

I grew up being told, "If you work really hard, you'll get ahead"
Now with student loans and credit card debt I'd rather be dead
So I said, "Screw the system, I'll just go rogue"
And then I thought, "Is this what the powerful do when they can't print gold?"

Sat, 12/01/2012 - 21:02 | Link to Comment Being Free
Being Free's picture

direct feeds illegally give data to one group of subscribers ahead of the consolidated feed.

I'm shocked!  Shocked, I tell you!

Sat, 12/01/2012 - 21:36 | Link to Comment Yen Cross
Yen Cross's picture

 I'm saving that chart for EKM/ He will tear it ap[art]<>

Sat, 12/01/2012 - 21:42 | Link to Comment max2205
max2205's picture

Every Friday is Opex for a lot of big issues. That's it, move on....

Sat, 12/01/2012 - 21:47 | Link to Comment Nid
Nid's picture

NYSE volume was 500 million at 3:59. It was 1.2 Billion at 4:00

Sat, 12/01/2012 - 21:56 | Link to Comment luckylogger
luckylogger's picture

It was a rebalance day, most times i agree with the Nanex stuff and I hate the fact that the algos trip stops after hours just to fuk the retail trader. However I think this was just a glut of market on close orders put in by portfolio managers all over the world. Just my 2c.

Sat, 12/01/2012 - 22:27 | Link to Comment nanex
nanex's picture

What don't you agree with? That Nasdaq's quote disappeared for 20 seconds? Or that they kept trading while their quote was out? I never understand how people can "disagree" with facts.

Sat, 12/01/2012 - 22:53 | Link to Comment luckylogger
luckylogger's picture

I was just saying they were probably market on close orders and all will be filled at the settlement price, except of course the retail tradedr who always gets fuked..

Thats it they ar continuously getting over ridden by too many orders............. sure it fuks the retail guy but who cares? the sec?................

Sat, 12/01/2012 - 23:11 | Link to Comment Yen Cross
Yen Cross's picture

 nanex, have fun Monday morning whilst you adjust your bid/sell front running liquidity/  Your day is coming, basement baby<>

Sat, 12/01/2012 - 22:25 | Link to Comment LongSoupLine
LongSoupLine's picture

let me break down the technicals into laymans terms:

 

 

we are all getting fucked up the ass by super computers owned by a select few in power that have the full blessing and backing of every corrupt regulator, politician, exchange and the Fed.

 

fuck all of you fuckers i listed above.  may your holidays be filled with pain, prison and dull chainsaws cutting your fucking balls off you fucking pricks.

Sat, 12/01/2012 - 22:37 | Link to Comment newworldorder
newworldorder's picture

OK then. What are we going to do about it??? Asolutely nothing!!!!!!! Most dont give a sheet.

Sun, 12/02/2012 - 14:27 | Link to Comment dognamedabu
dognamedabu's picture

Totally. Try bringing this shit up at a cocktail party or on break at work. They look at you like you must be alien.

Sat, 12/01/2012 - 22:43 | Link to Comment cdude
cdude's picture

Tell how you REALLY feel.

Sat, 12/01/2012 - 22:47 | Link to Comment Fred Hayek
Fred Hayek's picture

You must be a California juror. There's a softy in every bunch.

Sat, 12/01/2012 - 23:17 | Link to Comment WillyGroper
WillyGroper's picture

Dull chainsaws  ;oD luv it!

Sun, 12/02/2012 - 02:00 | Link to Comment Yen Cross
Yen Cross's picture

fuck the fed and Timmey to! Don't mess with long soup lines!

  Am I wrong?

Sat, 12/01/2012 - 22:25 | Link to Comment ISEEIT
ISEEIT's picture

Is it really so bad?

YES!

Sat, 12/01/2012 - 22:36 | Link to Comment nanex
nanex's picture

Here's a link to charts of this years November close: http://www.nanex.net/aqck2/4003.html

Sat, 12/01/2012 - 22:56 | Link to Comment Schmuck Raker
Schmuck Raker's picture

Thanks for sharing all your hard work with us.

Sat, 12/01/2012 - 22:58 | Link to Comment covert
covert's picture

downtrends will continue

http://covert.ias3.com/forums/

 

Sat, 12/01/2012 - 23:11 | Link to Comment dannyboy
dannyboy's picture

This is so much bullshit, I don't know how they can do this without the rest of the market being up in arms about it. I don't even trade equities and this makes me fucking rage so hard..

Sat, 12/01/2012 - 23:24 | Link to Comment Yen Cross
Yen Cross's picture

 Long shanked algorythoms/  Hey nanex, why are you bidding risk? Tell me why you are shopping for miniscule sector bids/sells in a whole sector? 

Tell me why you can't fill a bid or sell contract because the banks can't keep up with you! 

   I trade currencies, the fastest markets on planet Earth, and I'm still leveraged, not NAKED SELLING/BUYING SHIT I will never take delivery of!

Sun, 12/02/2012 - 08:47 | Link to Comment Dr. Sandi
Dr. Sandi's picture

What escapes me is why more people don't start betting on pro wrestling instead of the rigged 'markets.'

At least with gambling on pro wrestling, the good guys win most of the time. What more guidance do you need for your investment dollars?

Sun, 12/02/2012 - 14:48 | Link to Comment gmak
gmak's picture

It would have been nice to post this on Nov 28 or 29, no?

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