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Broken Market Chronicles Part X+1: This Morning's Multi-Symbolic Flash Crash
'Twas the seconds before the open, and all through the market, not a trader was stirring... well apart from Johnny 5 and his algo friends. From our friends at Nanex, in case you missed it, there were numerous algo-inspired flash-crashes this morning right before the open... HPQ (traded down to $3 from $14 in about 100ms), S (from $5.50 to $2.75 in 150ms), GS (from $117 to $94 in 45ms) and C (from $36.00 to $20.00 in 90ms) are among the NOT fat-finger moves we saw as the charts below show. Now move along and BTFD! Bernanke has told you so...
Via Nanex:
HPQ - All quotes and trades
HPQ - Only NASDAQ quotes and trades
S - All quotes and trades
S - Only NASDAQ quotes and trades
C - All quotes and trades
C - Only NASDAQ quotes and trades
WU - All quotes and trades
WU - Only NASDAQ quotes and trades
KR - All quotes and trades
KR - Only NASDAQ quotes and trades
WFC - All quotes and trades
WFC - Only NASDAQ quotes and trades
GS - All quotes and trades
GS - Only NASDAQ quotes and trades
T - All quotes and trades
T - Only NASDAQ quotes and trades
»
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But but but... They bring liquidity... :(
Honestly, Nanex is going to kill off the market with these confidence destroying observations.
When selling is outlawed, only outlaws can sell.
What's a few ms between friends
keep it friendly...
"market"... lol
if a tree fell in the market, would anyone hear it?
Nanex! Hmmm..They work for Al-Qaida right?
Cyber turrrurrusm.
Honest question: If you were working a bid ~50% off the book and the computers pulled the magical fuckjob (read market-making move)... Would you be filled? And, if you were filled, would they kill that order? I've never heard of trades being cancelled on account of anything but a human-based "fat-finger" trade. Anyone with experience on this? Thanks!
Honest question: If you were hitting on a Victoria's Secret model at the Caribou Club and she was so fucked up she didn't know her name (read lsd-laced coke)... Would you take the shot? And, if you were fulfilled, could the cops arrest you for rape? I've never heard of rape charges on account of anything but a statutory-rape "robbing-the-cradler" conviction. Anyone with experience on this? Thanks!
That's a cute analogy, but it still didn't answer my question. Thanks, though, you're witty and fun!
It's not like you're new here.
Correct, Spastica, but I've been following ZH for many years. More years than my membership information indicates. I've just never felt I had the balls to say anything. I just chose to keep learning at ZH. Thanks for helping me learn.
Actually, I wasn't trying to be a dick - and I can see from your profile that you're not newbie. I was just riffing off your request to get an honest response.
Usually, when I prepend a comment with "I have an honest question," I rarely get what I'm looking for. And I'm not hating on HH, either, I just think the reply was caustic and sardonic, In the best ZH way.
Point and instruction taken. Thanks, Spastica, I would love to be a part of the ZH community. I'm just still learning. Maybe I'm a little too sensitive right now, so I'll mete my comments from here on out. Thanks again, I'm just happy to engage with the brilliant minds of ZH!
If the price is too outrageous, they can have a do-over where all trades executed outside a certain range - say 20% or so - are reveresed. So even if the algos let your $3 HPQ bid go through (they wouldn't, as long as your bid was there, they would bid $3.005 and take it) then the market would probably have a do-over, give you back your money and give the shares back to the bot that mistakenly sold you the stock too cheaply.
Anyone who believes in this market should spend time on BEEZID.COM putting on penny bids in an attempt to get $1.98 I-Phones... If you get bored with that you could always try to win a teddy bear on one of those claw machines at the arcade...
I once helped to free a child's arm from one of those claw machines. Little bastard didn't want to earn it. Likely he'll vote Obama in the next election.
Pre-flash crash days, a friend had (highly profitable) trades unwound due to what the broker called "erroneous pricing" (despite it wasn't). He called them out on it, and they pretty much just said they can do whatever they want, according to the 2,614 page "contract" he signed.
Sorry to hear of your friend's misfortune. That's just a joke in and of itself. But the banks run everything (P.S. When the *uck did that happen!?!?!), and they can do whatever the government allows. I think I just puked in my mouth thinking about it...
My point is this. Anybody working a bid 50% below market on any of these stocks is just hoping to get lucky when they could be making real money if they would just stay in their element. Stop wasting time fanatasizing about whether or not you can keep the ivory if you kill an elephant in Africa one day, and just go shoot the damn squirrels in your front yard.
Your damn squirrels have ivory tusks?
Taste like rabbit.
...rabbit sprayed with just a little Tomcat urine.
Mmm Mmm!
; )
...tungsten filled rabbit
I envy anyone who can shoot squirrels in their front yard. That would be illegal where I live.
Obviously I have no illusions of working a bid as described. It was obviously an ignorant question, nothing more. Sorry for wasting everyone's time. And no, I'm not new to ZH, but I'm new to posting (ironically, I think I now know why), but I figured there was a plethora of people here much more learned and smarter than I who I might learn something from. Thanks for the lesson.
if you are trying that use 29% below the latest trade because they generally bust flash crash trades below -30% in favor of the algos.
http://www.zerohedge.com/news/nyse-cancel-trades-beyond-30-band-opening-...
Thanks buzz. I guess I'm really just curious as to who benefits, if anyone, to these micro-crashes??? Yes, they're documented on the chart. But if the computers turn on each other, who actually wins? Obviously *someone* must, if they keep the algo charade going day-in and day-out. Or are the TBTF's just as ignorant as I am?
who wins when a fart is loosed in a whore house?
who's john galt
e coli
my john galt
HFTs make money front running and quote stuffing they don't want to actually own anything. Therefore they run away from a real offer to sell like a scalded cat causing flash crashes. That is the inside joke about waddell & reed that still gets yucks around here. All big sell orders should proceed to the dark pools where actual prices paid are not reported.
Thanks again buzz, I'm glad to know there are a few people out there who will encourage and respond to the questions of an ignoramus. I have the same investing mentality (albeit a smaller bankroll) as those who are frequent posters on ZH, so please simply consider me a kindred spirit with a witty spirit and a penchant for learning as much as I can! I appreciate your candor and guidance.
But if I shoot the squirrels my hounds will have nothing to chase.
I have seen an order NOT executed during one of these crashes. Since noticing this, I feel like the ordinary retail trader/small investor does not have the technology required to get the trade executed in these small time periods.
The SEC has clawed back executed trades discounted over 30% during the big flash crash months (maybe a year?) ago.
Thanks, Stares, that answers my question. I appreciate it. And I apologize to everyone for my apparent ignorance. Much obliged.
Every question here is a good one. I was actually thinking the same thing, which you asked.
No apology needed.
Thanks, Tex, glad to know there are others out there seeking more answers!
Don't apologize here. Just because fuckers on this site spend 20 hrs. a day in or on the markets doesn't mean they are any smarter than you are. They just know more about one area than most. Just like ego maniacs who think anyone that knows less than they do or has less toys are idiots doesn't mean they aren't.
Keep on
Thanks, lincoln. =)
Fire Cat nice to meet you. I like you read this site for a long time then registered. I track trends and you will find some good people here. Yes we do have our crazy folks as well. I was actually scared to ask my first question here.
I an not a professional investor but I do like my gold. Scared of silver and currently sitting on cash and gold I bought for 250 back in the day. I come here every day. ZH does indeed post some great articles. Some of the stuff discussed here baffles me at times. But what the heck I am 65 and survived a war. The nuts and carzy folks here have nothing on bullets so I tread out and ask stupid stuff from time to time. I love to crunch some numbers.
These nuts here cannot hurt you keep on asking them as I learn from your question.
Lincoln, I read zerohedge every day, and I don't have 1 penny invested in any market: stocks, bonds, nothing. I suspect many zerohedge readers have similar positions (many here hold gold and silver and do not trust the marktes).
And in this utopian market we're conditioned to ask: what error caused the flash crash?
Never: what caused the market (or stock) to recover?
Fire Cat,
Here is your answer. Yes, It happens almost everyday, called a broken trade or clearly erroneous trade.
11890. Clearly Erroneous Transactions
The provisions of paragraphs (C), (c)(1), (b)(i), and (b)(ii) of this Rule, as amended on September 10, 2010, shall be in effect during a pilot period set to end on February 4, 2013. If the pilot is not either extended or approved permanent by February 4, 2013, the prior versions of paragraphs (C), (c)(1), and (b) shall be in effect.
(a) Authority to Review Transactions Pursuant to Complaint of Market Participant
(1) Definition.
For purposes of this rule, the terms of a transaction executed on Nasdaq are "clearly erroneous" when there is an obvious error in any term, such as price, number of shares or other unit of trading, or identification of the security. A transaction made in clearly erroneous error and cancelled by both parties or determined by Nasdaq to be clearly erroneous will be removed from the consolidated tape.
(2) Requests and Timing of Review.
A member that receives an execution on an order that was submitted erroneously to Nasdaq for its own or customer account may request that Nasdaq review the transaction under this rule. An official of Nasdaq shall review the transaction under dispute and determine whether it is clearly erroneous, with a view toward maintaining a fair and orderly market and the protection of investors and the public interest. Such requests for review shall be made in writing via electronic complaint or other means specified from time to time by Nasdaq as announced in a Notice to Members or Head Trader Alert. A request for review shall include information concerning the time of the transaction(s), security symbol(s), number of shares, price(s), side (bought or sold), and factual basis for believing that the trade is clearly erroneous. Upon receipt of a timely filed request that satisfies the Numerical Guidelines set forth in paragraph (a)(2)(C) the counterparty to the trade shall be notified by Nasdaq as soon as practicable, but generally within 30 minutes. A Nasdaq official may request additional supporting written information to aid in the resolution of the matter. If requested, each party to the transaction shall provide, within 30 minutes of the request, any supporting written information. Either party to the disputed trade may request the supporting written information provided by the other party on the matter.
(A) Filing Time Periods
(i) Except as provided in paragraph (a)(2)(A)(ii) and (a)(2)(A)(iii), any member or person associated with a member that seeks to have a transaction reviewed pursuant to paragraph (a) hereof shall submit a written complaint to Nasdaq MarketWatch within 30 minutes of the execution time.
(ii) Routed executions to other market centers will generally have an additional 30 minutes from receipt of their participant's timely filing, but no longer than 60 minutes from the time of the execution at issue, to file with Nasdaq for review of transactions routed to Nasdaq from that market center and executed on Nasdaq.
NASDAQ OMX does not normally break trades that are between the Reference Price and up to but not including the Numerical Threshold. Refer to the chart below for more details:
Reference Price, Circumstance or Product Regular Trading Hours Numerical Guidelines (Subject transaction's % difference from the Reference Price): Pre-Opening and After Hours Trading Session Numerical Guidelines (Subject transaction's % difference from the Reference Price): Greater than $0.00 up to and including $25.00 10% 20% Greater than $25.00 up to and including $50.00 5% 10% Greater than $50.00 3% 6% Multi- Stock Event - Filings involving five or more, but less than twenty, securities whose executions occurred within a period of five minutes or less 10% 10% Multi-Stock Event - Filings involving twenty or more securities whose executions occurred within a period of five minutes or less 30%, subject to the terms of below 30%, subject to the terms of below Leveraged ETF/ETN securities Regular Trading Hours Numerical Guidelines multiplied by the leverage multiplier (ie. 2x) Regular Trading Hours Numerical Guidelines multiplied by the leverage multiplier (ie. 2x)Behold the Department of Profitability.
Digital thieves setting off stop losses.
No doubt the TBTF's will have their shares "erroneously sold" back.
Live Action!!!
Love that show. YE-YE-YAW!
F*cking Hell!
Can HFT computers get cases of hiccups?
Maybe that's what happened.
You didn't want those shares anyway.
you didn't make those shares, .gov did
practice run.
This is what the end will look like. One morning we will come in and the whole market will be worth zero. Kind of like when BATS tried to go public. No bid.
But they will not let you know which day it will be.. and the consequent volatility will be likely totally uintradable..
practice run!
It will be the day that we see 535 new short position accounts established and not before
They don't need to be short, just liquid. That was how generational wealth was made in each of the last crashes.
IMF's Lagarde says she does not see hard landing in China
It's the fat lady clearing her throat.
The fat lady has been belting it out for so long she has blood shooting out of her throat.
Alas, the ears of the market have been filled and packed with cotton.
It looks like that Snake game you got on the old Nokia (Who?)....
this just makes you sick to your stomach to see this theft...and the so called controlling agencies approving of it...its theft...
Gone in 45 MS
This is how we leverage to 44 Trillion when we have 100bn in assets.
Speed son, Speed .. you got that?!
Regards,
LB
It's interesting that in all this "fiscal cliff" nonsense, there's no talk of raising taxes from the financial sector. The biggest freeloaders get the biggest free rides. For example, a small one cent per-share-per-order transaction tax ought to help the HFT thieves actually contribute to society for once.
Yes, yes, I know...but one can dream, right?
there was a time when good banks used to finance real business and growth and take share of their profits, but now it's all for me and for me only. in matter of fact, TBTF banks they dont even need to generate business, they can make money on Moral Hazard, and what other environemnt is better than ZIRP.
You are right, people will wake up one day when harsh reality kicks in and fix this mess.
I wanna merge with robots - Ray Kurzweil
At least they can make money.
I tried to get in on that 30ms drop, but I couldn't click my mouse fast enough.
Forget about moving the mouse, even the latency of the click through the USB port is longer than 30ms.
The truth of what the stocks are really worth came out for a couple milliseconds. But alas the truth was covered up a millisecond later.
HPQ is worth less than $3. How it trades anywhere above $1 astounds me. Same with JCP and just about every other bullshit CFO cooked and channel stuffed stock out there.
Never,
Never, never, never, never, never.......
use stop/loss.
OK anonymous or anyone. Time to infect these computers with a virus that prevents them from buying on the dip. Lock in the losses.
LOL! Now that has merit man!
FlashCrashes4EVA
So if you had a limit order gtc in at those levels, would you have gotten filled? Might be a good strategy to put crazy limit orders in on large cap stocks and just wait for the flash crashes.
No.
It's ok, that was just when Kevin spilled coffee in his lap.
There is a new movie coming out with Johny Depp having his mind transferred to a computer. (Title?) Wonder if he will do any HFT?
The stock, commodity and currency exchanges have been reduced to gambling dens whereby the more powerful traders with deep pockets move the markets to maximize their own profits at the expense of the remaining not so powerful players. The big boys have enormous money power to move the markets in the direction which results in maximum profits for themselves. They effectively use the media to lure the other players in the market to a position where they would incur maximum loss.
The markets will fall only when the banksters have eliminated all the short positions and only they themselves have positioned themselves to profit when the market falls
OR
When an unexpected world event catches the banksters with their pants down and the softwares they use to rig the markets go berserk beyond their control.
http://www.marketoracle.co.uk/Article35345.html
Algos are the reason I avoid stop loss orders and unmonitored limit orders. I use limits only to prevent being abused by my broker and I avoid any sort of long-term standing order. The only way to monitor a portfolio is to monitor a portfolio.
In the face of this avalanche of abstract absurdities, most of the comments here just hone their macabre sense of humour. ... What else can any of us do, but develop the ability to laugh at automated evil, running out of control at near the speed of light?
Again, this feels like system component testing in the live envronment.
Test each individual component, and then different levels of integrate tests.
When they fire off the whole system, everything will disappear in ms's .
It will be a sight to behold.
Think like a systems programmer, along with the cliche of 'First time may be an accident, second time ...... etc'
For a brief instant, EPS looked better on some of these dogs. Maybe the algos get sentimental for the fundamentals from time to time.