Nanex Research

Nanex ~ 28-Aug-2012 ~ LAD During Knight Rogue Algo

Interesting charts of symbol LAD during the morning of August 1, 2012 when a rogue algo from Knight was running. See also Knightmare on Wall Street.

1. LAD - 2 second interval chart showing trades color-coded by reporting exchange.

2. LAD - 2 second interval chart showing only ISO trades color-coded by reporting exchange.

3. LAD - 2 second interval chart showing NYSE bid/ask spread (blue shade) and non-ISO NYSE trades (circles).

4. Zoom Area 1 from above. 25 millisecond interval chart.

5. Zoom Area 2 from above. 5 millisecond interval chart.

6. Zoom Area 3 from above. 2 millisecond interval chart.

7. 250 millisecond interval chart.

8. 5 millisecond interval chart.

9. 100 millisecond interval chart showing when the rogue algo was turned off (9:59:23).

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