Nanex Research
Nanex ~ 15-Nov-2012 ~ A Glimpse of the Future
On November 15, 2012 at 9:50:44 the stock of BioMarin Pharmaceutical Inc (symbol BMRN)
showed us a glimpse of the future. The stock rocketed 11.7% in about 1/3 of a second,
tripped a circuit breaker and halted. This is what the next flash crash (or surge) will
look like. Except not all stocks will trip their circuit breakers at once. We'll experience
a rotation of symbols going on and off their circuit breakers. Which means a lot of
software running today will get to experience conditions they've never been programmed
for. This is known as an "edge" case. And we all know how well Wall Street does with
edge cases. Most software won't have the new limit up/limit down algorithm
coded correctly, and who could blame them -
it's a poor man's band-aid designed by rabbits.
Here is a link to a 3-D animation.
1. BMRN ~ 1 second interval chart showing trades color coded by exchange.
The explosion of trades, followed by a 5 minute halt, and then back down to earth.
2. BMRN ~ 1 second interval chart showing bids and asks color coded by exchange.
3. BMRN ~ 1 millisecond interval chart showing trades color coded by exchange.
EDGE trade reports (gold diamonds) are reported hundreds of milliseconds late.
4. BMRN ~ Nanex Tick Chart
5. BMRN ~ 1 millisecond interval chart showing trades and bid/ask spread for
Nasdaq (black) Bats (Pink) and Edge (gold).
6. BMRN ~ 1 millisecond interval chart showing trades and bid/ask spread for
Nasdaq (black) and NY-ARCA (red). Solid gray shading is NBBO.
Lots of trades at ARCA execute way above the best offer (better price at other exchanges)
7. BMRN ~ 1 second interval chart showing ISO trades color coded by exchange.
8. BMRN ~ 1 second interval chart showing non-ISO trades color coded by exchange.
9. BMRN ~ 1 millisecond interval chart showing ISO trades color coded by exchange.
10. BMRN ~ 1 millisecond interval chart showing non-ISO trades color coded by exchange.
Nanex Research
Inquiries: pr@nanex.net