High Frequency Wallpaper: When Knight Went Dark

Tyler Durden's picture

See if you can find when the Knight algo was turned off on August 1st 2012? Think that was a lone rogue algo? This is what our 'market' has become, as Nanex explains, a Knightmare on Wall Street...


Click image for wallpaper-size chart

Source: Nanex

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Xibalba's picture

Good to know the 'Market' is in good hands.







ACP's picture

As the wise Freddy Krueger once said:

"Welcome to my world, bitch. I should warn you, princess... the first time tends to get a little... messy."

nope-1004's picture

From Tylers link above, http://www.nanex.net/aqck2/3522.html,  scroll down to the list of the 51 most traded stocks AHEAD of SPY on that day.

Was interesting to see #6, Direxion Gold Miners Bull, hammered 12.5%.  But no manipulation, of course.


ACP's picture

Yup, at least Krueger gave warning...

Just a matter of time until Nanex gets slammed by the SEC for "interfering with the efficient operation of the capital markets."

redpill's picture

Glad I called Blanchard!



bank guy in Brussels's picture

Re the hammering of the gold miners, and much else -

More fire and brimstone today from the great Jim Willie -

Fabulous stuff -

How the framework for international trade settlement in gold rather than the US dollar is already in place

How Germany is aligning with Russia and China, ready to 'swing' from West to East in the new world arrangements of gold-backed trade

Why China and Russia have 5 to 10 times more gold than they admit

Why Hong Kong is the safest place to store gold

How the West is sabotaging mining stocks, and people should own true physical gold instead

How JP Morgan interest rate swaps are fabricating 'demand' for US Treasuries to keep yields low

« The US citizens remain the worst informed people of any industrialized nation, and the most subjected to propaganda. »

« JPMorgan runs the Iraqi Export Bank in Baghdad Iraq, which serves as the clearing house for Afghan narcotics »

« The Zero Percent Interest Rate Policy will remain in place until the USGovt debt default occurs. » And the US dollar dies.

Always terrific reading


Stuck on Zero's picture

Jim Willie has always been the best of the best.


waterwitch's picture

Thank you for that link. Really amazing.  Had no idea about the Iraqi Export Bank or the ties to narcotics money laundering. The Vatican discussion is also amazing.


fuu's picture

#6 Direxion -12.5%

#20 KinRoss Gold -4.45%

#34 Market Vectors Gold Miner ETF -3.22%

#39 GoldCorp -4.88%

#46 Yamana Gold +2.36%

CPL's picture

Dirextions better watch how it's balancing it's x3 ETF.  Once that 'bull' goes to zero Gold breaks it's chains and launches into the stratosphere.  Direxions is playing chicken with a short position on the other side of the trade that will have to be closed the same second it does...those ETF's might touch short term pricing, but like an elastic band being pulled down eventually it breaks or fly's.  They will act like a noose on anyone that is in a position of needing to deliver physical in a fund.

If you notice it didn't move the gold/silver market by much.

TeMpTeK's picture

Ill bet Gartman was both long and short the "Sideline" today....

Glass Seagull's picture



When fundamentals = signal engineering.

tawdzilla's picture

is that what they meant by the "fiscal cliff"?

Dr. Engali's picture

At least skynet makes some interesting wall art.

Cognitive Dissonance's picture

Nightmare on Wall Street 2 coming soon to a monitor near you.

<You didn't think the movie was over just because they're rolling the credits......did you?>

haskelslocal's picture

Twice at 9:52 and 10:00.

What makes up the interim? Was there a replacement algo that filled the gap?

insanelysane's picture

The algo was coded incorrectly and was a failure that cost Knight.  However, we need to understand what the programmers were trying to code.  Was the software intended to continuously flip trades in the opposite direction at x intervals of time?

EclecticParrot's picture

Though I prefer Rothko, this artist clearly has promise.

Catullus's picture

Green for the week.


I hate myself that I played that correctly.

PUD's picture

I don't know why this bothers anyone. The 'market' is was and will be till the day it dies (soon I hope) a casino. Who among you gamblers wouldn't like their very own hft algo? It is not investing and hasn't been for a long long time...it is speculation with the blessing of government (ira, 401k etc) If it troubles you then you should take the moral high ground and walk away. They aren't doing anything you're not trying to do are they?

centerline's picture

Can drive a truck through that.  Wow.

DutchR's picture


The algos only had a one minute lunch break?

Call the Union!









CPL's picture

UPS cycle the data center they are in.  You can see that type of dip during a power shuffle or someone moving a VM farm around with vMotion.  There's data, it's just getting moved around and que'd, that's why data looks 'denser/faster' after the gap.  It's the orders catching up over the following two minutes of trading.  

Looks just like every other data center usage map.  Power must be cycled in three phase power and UPS racks have to be cycled to avoid costly replacement (UPS, fancy term for flat boat battery. Same tech as boats and requires the same type of maintenance.

So there's a cheap hack, time the UPS cycling in the data center and put yourself in the gap while the system cycle is pushing better yet, you can define an entry to flash crash a market.  Or flash push the market.


That gap is when the Algo 'blinks' and can't see and MUST react to the orders in the system.

Downtoolong's picture

From finding the Pope in the pizza to finding Mr. Smith in the Matrix, it's all one big joke on reality.

lakecity55's picture

The Dark Knight Rises (and then quickly falls 2 or 3 times).

EclecticParrot's picture

Speaking of HFT, algo-rama and the like, check out the chicanery we're seeing this afternoon, quite typical.  First, we have a small 'exhaustion' swoon at 2:30, to make folks think we won't quite hit the topmost pivot point, enticing in short-term shorts.  Then at precisely 2:45 all indices are slammed northward to the final pivot, in the largest 2-min bar of the day, clearly to cash in off the covering and hit the topmost stops, then it licks new highs 2 or 3 times, falling in between to get even more people short, and now, with the witching minute of 3:52 just around the corner, I'll just bet we swoon a bit back toward VWAP, but we won't hit it, oh no, there'll be a 3:57 spike.  Of course, I could be wrong, but it's a bit silly when you can predict these things, but, given human reaction times, can't capitalize on it.  Can't the algos at least be a bit more, ah, artistic?

EclecticParrot's picture

Heh, heh!  Well, it appears the Russell (the index I follow) did exactly as predicted, but this time it actually plummeted back to touch VWAP, with no 3:57 spike.  This can be explained, however, as the text-reading algos have ZH on their reading list, and omitted the last minute ramp purely out of spite.  

Herkimer Jerkimer's picture





Hello, SEC?!?!

HELLO!?!? SEC?!?

Knight should be made to testify on this charge.