Nanex Research

Nanex ~ 29-Nov-2013 ~ Excessive Order Modifications

The area circled in yellow show the only orders that we know of which resulted in a fine for "excessive order modifications". Using the same, or more stringent criteria, we found 9,509 instances where the number of order modifications in 1 second exceeded 2,000 and there were fewer than 5 trades.

1. Instances of a large number of Depth of Book changes in 1-second in any CBOT Futures contract between January 1, 2009 and November 29, 2013
Chart shows 9,509 instances. Each blue dot is an instance where 2,000 or more changes to Depth of Book (order modifications or place/cancels) in 1 second in 1 futures contract. Red indicates 4,000 or more changes. Dots are sized by number of changes in 1 second in 1 futures contract. The dots shown in yellow circled area show the orders that caused a fine due to "excessive order modifications" in Dow Jones emini Futures (symbol: YM) on March 5, 2012 between 10:48 and 16:00 (9:48 and 15:00 Central Time).

2. Zooming in on Chart 1 to show January 1, 2012 through November 29, 2013.
The yellow arrow points to March 5, 2012, which resulted in an exchange fine for "excessive order modifications" in Dow Jones emini Futures (symbol: YM).

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