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Another "Algo Gone Wild" Bailed Out By Nasdaq After Mini Flash Crash

Tyler Durden's picture




 

2013 has begun just as 2012 progressed as Granite Construction just plunged 12.6% in under one second. As Nanex shows below, it is simply ludicrous. Of course, the algos (like every entity that comes close to 'failing' in the new normal) will never learn since, as usual, NASDAQ has decided to cancel the trades...

  • *NASDAQ TO CANCEL SOME TRADES IN 'GVA' FROM 11:45-11:46ET AT/BELOW $32.72 11:45AM-11:46AM

S.S.D.Y.

Via Nanex:

On January 2, 2013 at 11:46:56, the stock of Granite Construction Inc. (symbol GVA) tumbled 12.6% in 1 second on hundreds of trades (~50,000 shares). It recovered most of that drop seconds later.

1. GVA - 1 second interval chart showing trades color coded by exchange.



2. GVA - 25 millisecond interval chart showing trades color coded by exchange.

 



3. GVA - 25 millisecond interval chart showing bids and asks color coded by exchange.

 



4. GVA - 5 millisecond interval chart showing trades color coded by exchange. Chart shows about 5 seconds of time.

 



Nanex Research

 

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Wed, 01/02/2013 - 13:41 | 3115232 Fips_OnTheSpot
Fips_OnTheSpot's picture

Fun-Eh.

Wed, 01/02/2013 - 13:46 | 3115250 Renewable Life
Renewable Life's picture

The Obama laughing photo that has been on the front page of drudgereport since the tax hike vote, is hilarious, I hope he keeps it up there two more fucking days!

Fuck you Boehner!!!

Wed, 01/02/2013 - 13:54 | 3115290 Dr. Engali
Dr. Engali's picture

He needs to put up a picture of boner crying right beside it.

Wed, 01/02/2013 - 14:03 | 3115338 redpill
redpill's picture

OT: Record decline in Japanese population

It appears the Kyle Bass thesis is playing out like a slow motion demographic train wreck.

Wed, 01/02/2013 - 14:07 | 3115356 smlbizman
smlbizman's picture

so all trades within that 30% drop are good, correct?

 

Wed, 01/02/2013 - 14:13 | 3115389 aint no fortuna...
aint no fortunate son's picture

nothing would surprise me - I wouldn't have been shocked if they found out it was the specialist shorting the stock to get cheap shares for his pals, ya know, like in here's a late xmas present guys?

Wed, 01/02/2013 - 14:33 | 3115473 ParkAveFlasher
ParkAveFlasher's picture

Can someone tell me why we still refer to these events as "trades"?  The term is antiquated and obsolete.

I prefer "near-instantaneous value-killing price-fixing event" (or "NIVKPFE" for short).

Wed, 01/02/2013 - 15:02 | 3115575 horseman
horseman's picture

It will look like the gangster tattoo of the two jokers, "smile now, cry later".

Wed, 01/02/2013 - 14:03 | 3115330 Snakeeyes
Snakeeyes's picture

C'mon. The world is cheering US socialism and Greek fiscal policy! Look at the numbers!

http://confoundedinterest.wordpress.com/2013/01/02/the-day-after-republi...

Wed, 01/02/2013 - 13:43 | 3115238 drbill
drbill's picture

As always, nothing to see here. Move along. Move along...

Wed, 01/02/2013 - 13:45 | 3115244 fonzannoon
fonzannoon's picture

that must be the button next to the gold etf.

Wed, 01/02/2013 - 13:50 | 3115269 Gypsyducks
Gypsyducks's picture

+1000 for you sir.

Wed, 01/02/2013 - 13:48 | 3115247 ebworthen
ebworthen's picture

Hey now, Bank of America is at 52 week highs so these markets can't be rigged and everything is just fine.

So why cancel trades if the markets aren't broken?

Wait...I'm thinking again...

...must not think...

Wed, 01/02/2013 - 13:47 | 3115251 Seasmoke
Seasmoke's picture

So Anyone with a buy order at 32 gets fucked ? What a stupid casino.

Wed, 01/02/2013 - 13:49 | 3115265 walküre
walküre's picture

Better odds in Vegas!

Wed, 01/02/2013 - 13:48 | 3115259 Cognitive Dissonance
Cognitive Dissonance's picture

NASDAQ's canceling of trades gone wild is the equivalent of begging for forgiveness rather than asking for permission.

Wed, 01/02/2013 - 14:44 | 3115505 Swarmee
Swarmee's picture

No begging required. Forgiveness seems to be automatic and penalty-free right now.

We will see no official follow up on the cause (except through ZH & nanex, of course), no fines will be levied on the "rogue" trading, owner of the algo will not be identified, and no trading suspension or limitations made on the owner of the algo.

Merry Xmas to the quants, fuck up all you want, it's risk-free! And besides, it's just OPM anyway, right?

Wed, 01/02/2013 - 13:50 | 3115262 Dr. Engali
Dr. Engali's picture

"Nasdaq to cancel some trades"

 

We can't have anybody but the house winning in this rigged market.

Wed, 01/02/2013 - 13:58 | 3115308 ekm
ekm's picture

There are many casinos who go bankrupt because they've milked everybody in the area, hence no customers.

 

That's what's happening. The house bosses are killing each other because the customers (suckers) are out of money.

Wed, 01/02/2013 - 14:03 | 3115328 Cognitive Dissonance
Cognitive Dissonance's picture

The Fed/government has a monopoly casino franchise. It makes all the difference in the world........right up until the end.

<But it does make for some unbelievable extended game play.>

Wed, 01/02/2013 - 14:05 | 3115347 negative rates
negative rates's picture

Funny how it's never Trump though!

Wed, 01/02/2013 - 14:07 | 3115363 ekm
ekm's picture

He's gone bankrupt twice, as far as I remember.

Wed, 01/02/2013 - 13:51 | 3115274 derek_vineyard
derek_vineyard's picture

i want mulligans on my trades, too !!!!

Wed, 01/02/2013 - 14:04 | 3115344 Cognitive Dissonance
Cognitive Dissonance's picture

Sorry, but you ain't a playa. You (and I) is the sucker.

<No mulligans for you.....one year.>

Wed, 01/02/2013 - 13:51 | 3115279 TraderTimm
TraderTimm's picture

Conspiracy theory suggestion - most trades get busted, except for the ones the open market operations team need filled. Talk about getting alpha on millisecond-distressed securities.

Be funny if it were remotely true, wouldn't it?

Wed, 01/02/2013 - 13:54 | 3115288 The Miser
The Miser's picture

What will be interesting is if the trades cancelled will be cherry picked for the benefit of some and not others.

Wed, 01/02/2013 - 13:55 | 3115291 ekm
ekm's picture

This is what happens when there are no suckers left and HFT hienas are forced to attack each other into a big fish eats small fish natural extinstion mode.

Wed, 01/02/2013 - 14:00 | 3115292 larz
larz's picture

"Need more robots and less people, robots dont eat, complain or procreate"

                                                                                    - The 0.1% -

 

"Unintended consequences? just hit reset and start over, now isnt this fun"

                                                                                      -The 0.1% again-

Wed, 01/02/2013 - 14:08 | 3115370 negative rates
negative rates's picture

Catch 22, as if things can't speedy up any faster than they are currently on track for.

Wed, 01/02/2013 - 13:56 | 3115296 JustObserving
JustObserving's picture

The entire market is an algo gone wild.  Why pick out a tiny example?

Wed, 01/02/2013 - 14:02 | 3115321 Pharming
Pharming's picture

Anyone...anyone...please tell me...the anxiety is eating at my core!  

HOW LONG CAN THIS $1 Quadrillion CHARADE KEEP GOING?  

Criminies!  My brain is about to go Hillary! 

I'm going to the gym...

Wed, 01/02/2013 - 14:04 | 3115343 LawsofPhysics
LawsofPhysics's picture

It can go on so long as the majority can be fed and are happy with their bread and circuses.  When the supply lines for essential goods and services breaks, then shit gets real, not before.  same as it ever was.

Wed, 01/02/2013 - 14:22 | 3115430 ekm
ekm's picture

Correct.

Wed, 01/02/2013 - 14:12 | 3115385 negative rates
negative rates's picture

Yes Hillary, it costs the same amt of money to grow a broccoli or teach a person as it did in 1850.

Why does it cost so much today?

Too many middle men.

Wed, 01/02/2013 - 14:03 | 3115331 LawsofPhysics
LawsofPhysics's picture

For the last fucking time, there are no markets, only the Bernanke and perception management.  This must be maintained at all costs until all of the western world has been disarmed and everyone works for Chinese wages.

 

Now what are you gonna do about it?

Wed, 01/02/2013 - 14:05 | 3115346 Tsar Pointless
Tsar Pointless's picture

Masturbation is my plan.

Wed, 01/02/2013 - 14:15 | 3115400 MachoMan
MachoMan's picture

It's not really a plan per se, more of a desperate and unfulfulling process...  I see little difference between it and playing the market.

Wed, 01/02/2013 - 14:33 | 3115471 Dr Benway
Dr Benway's picture

Unfulfilling? You're doing it wrong.

Wed, 01/02/2013 - 16:43 | 3116034 MachoMan
MachoMan's picture

or actually have someone else to have sex with...

Wed, 01/02/2013 - 14:09 | 3115372 yogibear
yogibear's picture

Bernanke and the Fed will fix that. They have infinite fiat.

As long as people have faith in the US dollar.

 

Wed, 01/02/2013 - 14:10 | 3115379 samcontrol
samcontrol's picture

nothing, you are about one century off target, But i agrree..

how about we reach 50 red arrows this time, 44 doesn't cut it !

Wed, 01/02/2013 - 14:04 | 3115339 otto skorzeny
otto skorzeny's picture

Granite Construction? Didn't Fred Flinstone work for them?

Wed, 01/02/2013 - 23:20 | 3117485 WmMcK
WmMcK's picture

+1 - Mr. Slate (Rock and Gravel Company)

Wed, 01/02/2013 - 14:04 | 3115342 Serfs Up
Serfs Up's picture

I can't tell what's happening here....I need a microsecond chart.

Wed, 01/02/2013 - 14:07 | 3115359 Barry McBear
Barry McBear's picture

the exchange takes away any incentive to provide liquidity.  the risk/reward gets thrown out of whack with these broken trades. the potential risk of buying into one of these flash crashes (providing liquidity) is that some significant news has come out causing the move and you will get stuck with a giant loss. the potential reward is nil, if your trade is profitable the exchange will simply cancel it.  i've had it happen in the futures (thanks cme, you fucking assholes) and its a fucking joke.

If the exchanges came out and said no trades will ever be broken some of the real liquidity (ie. liquidity when it is actually needed) would return. 

Wed, 01/02/2013 - 14:10 | 3115381 Racer
Racer's picture

Exactly..why play in such a rigged casino!

 

Wed, 01/02/2013 - 14:15 | 3115399 negative rates
negative rates's picture

Jack Kerouac made him do it!

Wed, 01/02/2013 - 14:10 | 3115378 MFLTucson
MFLTucson's picture

Its really hard to comment on what has happened to America and its finacial sytem but, the words I find that are most revealing is that it is a disgrace to watch this fraud.

Wed, 01/02/2013 - 14:14 | 3115394 unplugged
unplugged's picture

BTFD

Wed, 01/02/2013 - 14:14 | 3115395 MrBoompi
MrBoompi's picture

You see, only the fastest computers are able to make a 12.5% profit in 30 milliseconds.  The rest of us, after adjusting for inflation, will never see a return on our stock investments.

 

 

Wed, 01/02/2013 - 14:18 | 3115413 Bryan
Bryan's picture

How is an honest trader supposed to make any money if their .01/share standing orders keep getting cancelled when filled??

Wed, 01/02/2013 - 14:24 | 3115438 Frank N. Beans
Frank N. Beans's picture

i got in at the lows on this one, woo hoo!!! 

had to type really fast though

 

Wed, 01/02/2013 - 15:00 | 3115485 Say What Again
Say What Again's picture

INHO, there are a few VERY SIMPLE fixes to this problem

  1. EVERY order must have a minimum life span of 0.5 seconds (which is an eternitiy for the HFT algos).  That is to say that an order can NOT be cancelled until 0.5 seconds after it has been submitted.
  2. Orders, such as the "Hide 'n Slide," that allow a market participant to "slide" in front of my bid / ask order in the queue should be made illegal.  This is frontrunning - pure and simple.
  3. The exchanges that caused the flash crash and subsequently "cancelled" should be required to cover any losses incurred by trades that were filled at low prices, then cancelled.

Let me be clear.  I am NOT against "Program Trading."  I AM against unfair rules that give one market participant a significant unfair advantage over any other participants.

 

Wed, 01/02/2013 - 14:54 | 3115542 Godisanhftbot
Godisanhftbot's picture

I prefer to call these TOILET FLUSHES

 

 Looks just like the vortex you get when you pull the lever, and since these events are full of , well, you know....

Wed, 01/02/2013 - 15:22 | 3115664 Bastiat009
Bastiat009's picture

Nasdaq is up big. The market crash announced here everyday has been postponed ... yet again.

Will 2013 will be as good for stocks as 2012 was? Safer than gold? Will the euro remain the very strong currency of broke countries?

It is already boring.

 

Wed, 01/02/2013 - 16:28 | 3115981 pcrs
pcrs's picture

Campaign contribution?

Just like Hillary Clinton who got these great deals on the cattle future market. Curious who was buying at the bottom. All capital gains, really.

Wed, 01/02/2013 - 20:47 | 3117041 pashley1411
pashley1411's picture

We simply are catching a glimpse of reality, that prices are what they say they are.    

Wed, 01/02/2013 - 21:25 | 3117170 Godisanhftbot
Godisanhftbot's picture

 That might have been news in 1932

Wed, 01/02/2013 - 23:16 | 3117471 Grand Supercycle
Grand Supercycle's picture

Wile E Coyote is not going away...

Recurring short squeezes propelling markets higher just ensures the Wile E. Coyote drop will be brutal ~ we are witnessing a mega crash in the making.

Whether it’s caused by fiscal cliff, debt ceiling, Europe or flesh-eating zombies invading Wall St, it doesn’t matter because another crash is guaranteed.

It’s a no brainer.
Charts don’t lie.

http://trader618.com
@grandsupercycle

Thu, 01/03/2013 - 04:08 | 3117956 Shash
Shash's picture

Fuck you Boehner!

Do NOT follow this link or you will be banned from the site!