Nanex Research

Nanex ~ 12-Sep-2012 ~ Memo on Market Orders

On September 12, 2012 at 9:31:56, about 9 stocks had micro flash crashes in the same second. Over the next few minutes, another 8 stocks had micro crashes. This maybe due to a portfolio manager rebalancing. One who didn't get the memo discussing how High Frequency Trading has destroyed the concept of Market Orders. There have been more than 10,000 events like the ones below since the beginning of the year.

You know something is rotten at the core when Officials recommend avoiding Market and Stop Orders.
TimeExgSymbolRExg#TrdsPriceChangeSharesTotal Volume
09:31:56NYANNNY 19 38.21+0.36 19,100 31,164
09:31:56NYDANNY 18 14.33-0.31 36,100 86,397
09:31:56NYCFNNY 15 27.93+0.46 45,480 83,468
09:31:56NQACATNQ 16 44.46+0.84 5,700 21,955
09:31:56NYAVDNY 17 31.35+0.48 8,773 26,633
09:31:56NYDARNY 21 17.43-0.42 19,300 53,858
09:31:56NYFULNY 19 33.45-0.63 12,300 21,539
09:31:56NYMITTNY 22 24.38+0.46 17,389 24,632
09:31:56NYYNY 8 350.24+3.01 800 3,290
09:32:15NYSKTNY 26 33.56-0.65 19,027 64,006
09:32:15NYUDRNY 20 25.77-0.42 36,200 66,885
09:32:18NYJEFNY 10 15.58+0.22 6,638 57,473
09:32:24NYPACNY 10 39.97-0.47 1,900 7,681
09:33:17NYETAR 8 23.28+0.22 16,407 386,773
09:35:25NYCPLNY 14 21.59-0.31 7,492 164,797
09:35:26NYDWREEX 6 29.46+0.54 4,950 77,060
09:35:32NYCLFNY 14 41.60-0.36 14,700 693,794
Later in the day a few more of these events were found:
TimeExgSymbolRExg#TrdsPriceChangeSharesTotal Volume
09:52:29.450NYTTP NY 11 24.93-0.38 2,500 11,844
10:06:51.100NYJHI NY 11 24.61+0.29 2,800 21,240
10:44:30.950NYCMG NY 15336.70+1.26 2,741 286,901
11:14:59.350NYKAR NY 8 19.03+0.30 4,300 335,084
12:03:16.825NYCMRENY 10 15.78+0.2223,411 166,398
12:04:27.675NYTEN NY 12 30.36-0.30 7,700 512,016
12:38:00.525NYTMH NY 11 27.27-0.26 5,0001,602,444
13:03:21.625NYDOLENY 9 13.21+0.23 2,723 438,498
14:01:54.375NYPM NY 33 87.02-0.9149,2193,689,361
14:54:49.850NYHOS NY 27 40.25+0.5925,000 286,609


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