Research

Nanex ~ 25-Mar-2013 ~ eMini Algo Disaster on 14-Jan-2008 On January 14, 2008, in the early hours of trading, prices of the March 2008 eMini (ES) futures contract began oscillating rapidly. After about 4 seconds and 100 oscillations, the price swings widened to the equivalent of about 400 points on [...]

Nanex ~ 14-Mar-2013 ~ Disrupting Markets One way to measure whole-market intraday volatility is by summing the changes in the NBBO (National Best Bid/Offer) in all stocks. The animation below shows changes to the NBBO Spread each second in NMS Stocks over a 9 minute period around noon (ET) between [...]

Nanex ~ 28-Feb-2013 ~ The Chicago PMI Trading Frenzy According to Bloomberg, the Chicago PMI numbers are released at 9:45:00 ET. For a fee, you can elect to receive the data 3 minutes earlier, and according to our data, those that do, are a powerful force in the market. The charts [...]

Nanex ~ 15-Nov-2012 ~ Dangerous Order Types One of the best things you can do to minimize latency on a network is to make sure you don't send more information than it can carry. This basic common sense seems to be lost on the exchanges and regulators. Take Direct Edge's [...]

Nanex ~ 13-Nov-2012 ~ Hiding in the Dark (Pools) On November 13, 2012, just seconds before market close, about 600,000 shares traded in the stock of Western Asset High Income Fund (symbol HIX). Approximately half of these shares executed on the lit exchanges, and half on dark pools. It appears [...]

Nanex ~ 01-Nov-2012 ~ The Denial of Service Algo Update: When this algo ran, it effectively shut down trading in that stock: see charts here. We found that this algo completely jammed up the consolidated quote when it ran in Nasdaq stocks. See this animation. Themis Trading believes they found what caused the high [...]

Nanex ~ 09-Oct-2012 ~ The Mini Knight On October 9, 2012 between 10:02:20 and 11:01:15, there were at least 449 bad prints in 253 stocks (view in google docs, or download it) which caused price spikes on charts. All bad trade prints were from NqTRF (dark pools) and  ended in 0.xx40 or [...]

Nanex ~ 3-Oct-2012 ~ KRFT Explosion/Implosion View a spread sheet of all trades in KRFT during the first minute. Kraft had 4 similar extreme price moves just days and weeks earlier. Many of these trades were later canceled. 1. What you saw: 2. What the algos saw: (How to read this chart) 3. Zoom [...]

Nanex ~ 02-Oct-2012 ~ New Quote Stuffing Algo Update: Check out this animation showing the impact on a millisecond level. Update: Algo counts for each day it was detected: On October 1, 2012, we detected a new form of quote stuffing that tries to hide under the radar. It involves hundreds of stocks and [...]

Nanex ~ 26-Sep-2012 ~ Natural Gas Bottle Rocket On September 26, 2012 at 10:04:12, trading in the November 2012 Natural Gas Futures exploded with 2,495 contracts rocketing the price 2.7% in about 175 milliseconds. The notional value of the 2,495 contracts is about $80 million. When viewing the impact on [...]

Nanex ~ 25-Sep-2012 ~ DAX and Euro Stoxx Futures on Flash Crash This page is featured on Financial Times. A reader sent us tick data for DAX® Futures (FDAX - June 2010) and EURO STOXX 50® Index Futures (FESX - June 2010) for May 6, 2010, which was the day known [...]

Nanex ~ 25-Sep-2012 ~ Whac-A-Mole is Manipulation On September 25, 2012, FINRA issued a press release: FINRA Joins Exchanges and the SEC in Fining Hold Brothers More Than $5.9 Million for Manipulative Trading, Anti-Money Laundering, and Other Violations. One of the links in the press release gave information about a manipulative cross-market layering [...]