The Infinite Trade/Cancel
Loop
Painting the Tape in the Modern World
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More Nanex
Research
| On October 18, 2011, an unusual event occurred in the
stock UNG. From 15:06 EST through 15:56 EST there were 13,167 Average-Price
trades, each one immediately followed by an exchange message that canceled the
trade. The trades appeared at a rate of 4 to 5 per second, and each trade was
canceled before the next trade appeared. Systems that don't process canceled
trades as they occur (many do this in batches to conserve precious time) may
have been fooled into thinking there was more activity than really existed.
Perhaps this is an algorithm's attempt at painting the tape? Or maybe someone
decided it was OK to run a test during a very active market? It might also
just be malfunctioning code. Regardless of the intent, events like
this indicate to us that there can't be many software certification check
points along the way to a release candidate. Shouldn't software that could
impact trading for everyone be ISO 9000
certified? |
UNG - UNITED STATES NATURAL GAS
The following pattern repeated from 15:06 EST through 15:56 EST;Symbol|NxCoreTime|ExgTime|Exg|Price|Size|Sequence#|Condition
UNG |15:07:03.475|15:07:03|NQEX| 8.6950| 500| 468485|AvgPrc
UNG |15:07:03.575|15:07:03|NQEX| 8.6950| 500| 468485|Cancel
UNG |15:07:03.675|15:07:03|NQEX| 8.6950| 500| 468507|AvgPrc
UNG |15:07:03.775|15:07:03|NQEX| 8.6950| 500| 468507|Cancel
UNG |15:07:03.825|15:07:03|NQEX| 8.6950| 500| 468509|AvgPrc
UNG |15:07:04.025|15:07:03|NQEX| 8.6950| 500| 468509|Cancel
UNG |15:07:04.050|15:07:04|NQEX| 8.6950| 500| 468517|AvgPrc
UNG |15:07:04.200|15:07:04|NQEX| 8.6950| 500| 468517|Cancel
...
...
...
UNG |15:56:23.200|15:56:23|NQEX| 8.6950| 500| 648723|AvgPrc
UNG |15:56:23.400|15:56:23|NQEX| 8.6950| 500| 648723|Cancel
UNG |15:56:23.425|15:56:23|NQEX| 8.6950| 500| 648746|AvgPrc
UNG |15:56:23.625|15:56:23|NQEX| 8.6950| 500| 648746|Cancel
For a complete lists of all canceled trades,
Click Here.
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Inquiries: pr@nanex.net
Publication Date: 10/18/2011
http://www.nanex.net
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