Strange Days - Citigroup Split and Dead Robots Back to Table Of Contents Trade/Quoting Activity: We chose two random days for Citigroup and looked at a detailed 2 minute time slice on each day to compare the differences in trading/quoting activity previous to the 10-1 split and after the 10-1 split. Click on any chart for a high resolution image. Quote and Trade Price and Size (note the extreme difference in quote sizes). Trades and Quotes are plotted sequentially as they occur. 03/21/2011 - Pre Split 05/11/2011 - Post Split Trade Price and Size. Size is scaled to the same amounts pre and post split. Trades are plotted sequentially as they occur. 03/21/2011 - Pre Split 05/11/2011 - Post Split Trade Price and Size. Size is scaled by a factor of 10 (as this was a 10-1 split). Trades are plotted sequentially as they occur. 03/21/2011 - Pre Split 05/11/2011 - Post Split Quote Counts per second. 03/21/2011 - Pre Split 05/11/2011 - Post Split Quote Counts per second (5 second view). 03/21/2011 - Pre Split 05/11/2011 - Post Split Price and Tick Counts per second. 03/21/2011 - Pre Split 05/11/2011 - Post Split Price and Volume (scaled according to split factor of 10) per second. 03/21/2011 - Pre Split 05/11/2011 - Post Split Dead Robots It was common to see Citigroup ("eC") in our simple size algo filters everyday, all day. These were usually low grade repeaters (such as the algo images below demonstrate) that ran at fairly low to moderate quote rates. We no longer see any from Citigroup. 03/21/2011 - Pre Split 05/11/2011 - Post Split Some of the most fascinating size algos could be found in Citigroup prior to the split. (from Nanex's Crop Circle of the Day archive) Inquiries: pr@nanex.net Publication Date: 05/12/2011 http://www.nanex.net This report and all material shown on this website is published by Nanex, LLC and may not be reproduced, disseminated, or distributed, in part or in whole, by any means, outside of the recipient's organization without express written authorization from Nanex. It is a violation of federal copyright law to reproduce all or part of this publication or its contents by any means. This material does not constitute a solicitation for the purchase or sale of any securities or investments. The opinions expressed herein are based on publicly available information and are considered reliable. However, Nanex makes NO WARRANTIES OR REPRESENTATIONS OF ANY SORT with respect to this report. Any person using this material does so solely at their own risk and Nanex and/or its employees shall be under no liability whatsoever in any respect thereof.