New Level Of Stock Market Quote Insanity

Tyler Durden's picture

If there is one thing Nanex does with absolute perfection, as in the case below, it is to show how the New stock market Normal is best suited for various robotic creatures, and ideally to be avoided enitirely. Because surely after years of warning, and daily observations, including perfectly recurring events like the Flash Crash, at this point the farce that is the market should be known to everyone.

From Nanex:

New Level of Quote Insanity

We knew something was different about today. The following graphic neatly captures it. It shows the 15 minute average percentage of quotes considered excessive each minute (over 500 quotes per second per stock) between January 2010 and 11-May-2012 (plotted as thick red line). Note how this line was persistently high the entire day relative to trading days in the past. This probably explains the crazy high quote rates and prices shown in the charts below.

Excessive Quote (Percent)

Right before market open, 4 symbols had quote rates over 12,000 per second. Here is a list of those events:

Random images showing unusual quote activity involving multiple exchanges. Some of this activity was right before release of Consumer Confidence news (more on that here).

GOOG 100 ms

GOOG 25ms

GOOG 10ms

GOOG 1ms ~ This is just 1/2 second of time

MIDD 1sec ~ Look how frequent best bid/ask switches exchanges

MIDD 10ms ~ Zoom 1

MIDD 10ms ~ Zoom 2

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Yen Cross's picture

" AlgoRythom -s & Head Lines!

Manthong's picture

At least it's not "volatile".

It seems to me that we now have chaos in equilibrium.

 

iDealMeat's picture

Man, I love those "Established Men" ads in the pp click ponzi..  I aim right for the titties when I click on them..

 

PS: Thank You NSA for logging that comment. For the permanent record, Yes, I love boobs and chicks are hot!

 

The Big Ching-aso's picture

 

 

"There is nothing wrong with your computer monitor. Do not attempt to adjust the stock price. We are controlling manipulation. If we wish to make it higher, we will HFT up the volume. If we wish to make it lower, we will HFT down the volume. We will control the bid. We will control the ask. We can roll the market, make it flutter. We can Algo the Dow to a soft close or bump it to a vigorous spike.  For the next trading day, sit quietly and we will control all that you buy and sell. We repeat: there is nothing wrong with your computer monitor. You are about to participate in a great adventure. You are about to experience the awe and mystery which reaches from the inner mind to — The Stock Market Outer Limits."

Richard Chesler's picture

You unlock this door with the key of quantitative easing. Beyond it is another dimension - a dimension of fraud, a dimension of muppets, a dimension of Ponzi. You're moving into a banana land of both shadow and substance, of thieving assholes and corrupt hopium ideas. You've just crossed over into the Bankster Zone.

clymer's picture

I am partial to the snorg tees chick (meh)

clymer's picture

there really is no need to fear. Congress is actively passing legislation for itself as a legislative body, requiring all who serve in government (in either executive or congressional branches) who are responsible for overseeing lawful participation in electronic trading, to undergo a 6 month boot camp to learn basic computer science and networking, with a focus on how programmed algorithms can be used to influence market conditions.

Once they understand the volatility that this practice entails, they will make certain that all of this johnny-nonsense gets reigned in ASAP.

Trust your government

 

 

Badabing's picture

I know who is doing the “regulating” as they call it. Believe it or not they are a company located in New York that has a workforce of mostly people from India. This programming group has rang the opening bell on the floor of the NYSE more than once. They hide in plain sight. My trusted informant believes he is stopping the market from acting strangely when in fact they are the ones doing the opposite of what a free market is supposed to be. Last summer in August something happened and he had to go into the city while we where having a family BBQ it was a Saturday and he worked through the weekend. He said the markets almost came undone. The best thing we can do is not participate in the market and try to get some one elected who represents true free markets and will stop this charade  

 

GetZeeGold's picture

 

 

 

Hey dudez......stop bogeying the quotes!

 

GetZeeGold's picture

 

 

You must have spent your time in collage actually studying.

 

Bogart or bogarting could also be considered acceptable use.....

 

Several people have emailed asking how Humphrey Bogart’s name became associated with a term meaning selfishness. Ah, how soon we forget the intricacies of ‘60s drug culture. The selfish connotation comes from hogging a marijuana cigarette. Someone who kept the joint in their mouth, hanging from their lip like Bogey

http://www.wordorigins.org/index.php/bogart/

Badabing's picture

I have partied with the best,

I did say "Believe it or not " its a free countr........oh never mind

clymer's picture

And all this time I thought origination of the term "bogart" applied to calling someone out for slobbering on the mouth-end of a roach, the way Humphrey Bogart smoked. In Casablanca, for example, the dude would be licking his lips wet and when he took a drag of his smoke he would literally saturate the filter with saliva.

When we were passing a bone around on the path when I was 13 / 14, and someone said, "HEY! Don't FUCKING BOGART THAT Joint!! I always thought they were saying, "HEY! Don't ******-lip that joint!"

(sorry for the racist comment, I can assure you I am not a racist, just saying what was common-slang in white-surburban greater-Boston region, middle-class town I grew up in in, to draw analogy to what I had thought was the reference to "Bogarting")

 

 

gmrpeabody's picture

You are CORRECT sir!. That is exactly where it came from and what it meant.

These other youngsters have mis-understood and/or added variations to the original.

DeadFred's picture

A loong standing question for me has now been answered. thx

Thomas's picture

Saw the website "stocklegends.com" and read it "stockle gends". Need a vacation.

Element's picture

Isn't this what occurred after the US downgrade in August 2011, only that the algo's pseudo-trading liquidity-pump is even more frantically reactive and pro-active now?

So what's this ... pre-emptive "it's already been priced-in" day for algos?  Or is it rather a direct reaction to NOW? ... thus much worse dysfunction is logically still to come as the year unfolds?

Perhaps the 'market' (that would be the fine and upstanding algo 'community') can't tell the difference between the US mess and the European mess any more, so they are forced to just treats it all like a single unified pile-of-dung? 

(i.e. the all-singing all-dancing crap of the World )

Differentiation has dissolved, or rather, has become impossible?

 

I think so.

DeadFred's picture

IMHO they know the volatility is coming and this is just beta testing for their arb algos, sweeping micro-pennies at the nano second level is more profitable if you can move it to the milli-penny or even penny level.

Alternatively they might have cloned a T400 terminator for their algos and weren't able to fully purge the 'destroy humanity' programming from the circuitry.

Either way it means things are going to get even more exciting.

WaterWings's picture

ZH: Everything you know is in the Desert of the Unreal.

Sheeple: Do you have a glass of water? I have this handful of blue pills and, well, they have nowhere else to go. We must save them from an otherwise useless fate!

ZH: Do you like Tasty Wheat?

Michael's picture

Just keep stretching that rubber band further and further. The entertainment value to me depends on it.

Oh regional Indian's picture

Looks like the next one will be a Flash crash all right but not a flash recovery. And the more one ponders it, the clearer it becomes that PPT or someone has the ability to bias the algos.

Whatever the "key" market numbers are, those seem to tbe some sort of limits for the SECond/Hour/Day...else, how does such a system stay stable?

Which also tells me that the downward race won't be dis-orderly even if it all hapens very very fast. Keep seeing the towers coming down as a planted visual for what will happen...

ori

sifting-the-sands-of

Yen Cross's picture

 When the " door closes" O/R/I?  I got it: even if it all hapens very very fast. Keep seeing the towers coming down as a planted visual for what will happen...

Oh regional Indian's picture

More like slams shut...yes... like that..

Watch your "tail" risk...

ori

mckee's picture

The unintended consequence is not refreshing the page to see the latest headlines for fear of losing the current cleavage!

Yen Cross's picture

I pay attention. It is what it is!  1

sof_hannibal's picture

welcome to skynet... I had to look up chaos equilibrium-- good comment; In fact, I am still trying to figure out if it's a quote from the Simpsons (joke) or something real... plus one...

skynet at it's best using "Non-deterministic" probability computing to create perfectly orthogonal multivariate, integer factorizations...

I can't wait to see these robots trade this drop this thing to zero when the "chaos equilibrium," can no longer be achieved... buy gold...

~actually (just found the quote) in the Simpsons they called it: the 3 stooges syndrome... probably much more fitting to describe what's been happening in the markets~

DOCTOR HIBBERT
Well, you'd think so, but all of your diseases are in perfect balance. Uh, if you have a moment, I can explain.
MR. BURNS
Well... [looks at his watch]
DOCTOR HIBBERT
Here's the door to your body, see? [bring up some small fuzz balls with goofy faces and limbs from under the desk] And these are oversized novelty germs. [points to a different one up as he names each disease] That's influenza, that's bronchitis, [holds up one] and this cute little cuddle-bug is pancreatic cancer. Here's what happens when they all try to get through the door at once. [tries to cram a bunch through the model door. The "germs" get stuck] [Stooge-like] Woo-woo-woo-woo-woo-woo-woo. Move it, chowderhead. [normal voice] We call it, "Three Stooges Syndrome".
MR. BURNS
So what you're saying is, I'm indestructible.
DOCTOR HIBBERT
Oh, no, no, in fact, even slight breeze could...
MR. BURNS
Indestructible.

sunaJ's picture

Taleb would call Mr. Burns brittle, or fragile.  I am anticipating two breakdowns.  The first will be the planned exit strategy, the architecture of algos and overpaid PhDs, the second will be the breakdown they did not forsee, unable to recognize their own limitations in predicting human behavior or the future.  The market is way too brittle for any plan to work.  Either way, let's get physical.

sof_hannibal's picture

nice point... I like how you say either way (they can't control it perfectly)...

~the control of chaos is "fringe-y," at best; it's like a Macbeth play on crack... We have seen this time and time again... and show me any point in past history-- more recent or ancient (in the long run)-- when the evils of something similar worked out... it never does... these crooked games won't last... as they say, "you can't full all of the people, all of the time..."

~"systems can operate in a region between order and either complete randomness or chaos, where the complexity is maximal..." hmmm...

from evolving systems theory ~"the rate of evolution is maximized near the "edge of chaos." (i.e. see chart above, i.e. see chart above dropping to 00000 zero 0000, and blowing up some other highly connected system or systems)

-- pick your poison-- bonds, derivatives, credit, currency fiat, equity stock(s)-- they all drop to zero except (survival rate drops to 0 zero on a long enough timeline, right!) sometime soon; again, pick your poison-- inflation/ deflation; what matters is when you CANNOT/ no longer exchange what was once of value for something like food or running water (something of actual value)-- paper fiat is just that paper... however, except-- for tangible things (think physical metals, land, farms, oil)-- they will retain value while the "system" resets); then maybe we can evolve or build something better, so to speak [as we stand on the "edge" of utter chaos?)...

sunaJ's picture

 

 

 

Neo: Do you always look at it encoded?


Cypher: Well you have to. The image translators work for the construct program.

But there's way too much information to decode the Matrix. You get used to it. I...I don't even see the code. All I see is blonde, brunette, red-head. Hey, you uh... want a drink?


Neo: Sure

IndicaTive's picture

Rhythm Method....always works.

bdc63's picture

"Rhythm Medhod .... always works."

... until it doesn't ...

QuickDraw007's picture

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RiverRoad's picture

Awesome graph:  Evil in all it's splendor.

rotagen's picture

Does someone care about the stock market?  I thought it was only for the naivest of the naive.

Cdad's picture

Hooray!  MOAR f'n insanity!  

It's called "investing."

Yen Cross's picture

 Awe cdad. I thought we were friends?

  Just like those ( euro/Fed) spreads.

l.kimbot's picture

12,000/sec...mind boggling

Global Hunter's picture

Is it the baffle them with flashing lights algo?

Mr Lennon Hendrix's picture

Fuck counter party risk!  Buy silver, bitchez!

Yen Cross's picture

XAU is going to bottom " Between 1559.40, and 1530.77."   Technically...

  100% retrace on the move from 1741-1521. Bottom of the daily channel comes in @ 1530.77 <>

 Uptrend line/ comes in @ 1559.40. Hope I helped.

 

Mr Lennon Hendrix's picture

There will be massive buying at that level.

DeadFred's picture

Unless they time the bottom with a crash so there won't be any demand. My (short term) worry is the big buyers such as the Chinese gov are in it for they long haul and don't want high prices now. They would love gold to be at 800 for the next year. What happens if they decide to help the central bank manipulation for they moment so they can stock up on cheap metals for their reserve currency yuan scheme? In a turmoiled market there might not be enough investor demand to hold 1525. Below 1525 my untrained eye sees only air. Still it would take a lot of effort to break 1525. Options look safest at the bottom. Convert them to physical if prices rise and limited loss if support fails.

HD's picture

Great as usual - thanks Yen