Nanex Research
Nanex ~ 22-Oct-2012 ~ PLW - 818,316 Quotes and Zero Trades
On October 22, 2012, over a 14 minute period, there was a steady blast of orders in
PLW that were placed and immediately canceled, at a rate of about 1,000 per second.
These bogus orders had prices far outside the NBBO. This should be an easy one for the
SEC to find, since they've recently
stated that entering orders that aren't intended to be executed is
violates Reg NMS.
1. PLW 1 second interval chart showing bids and offers color coded by exchange
Those solid red lines are hundreds of thousands of bids/asks jammed together and far
away from the NBBO (gray shading)
2. PLW 100 millisecond interval chart showing bids and offers color coded by exchange
Still can't make out individual bids/offers because there are so many
3. PLW 25 millisecond interval chart showing bids and offers color coded by exchange
Even at a 25 millisecond resolution, there are too many bids/offers to distinguish individual
shapes.
Nanex Research
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