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May 6'th 2010 Flash Crash Analysis
Continuing Developments

BATS Improvement: CancelBot is Dead (or in hiding).

Publication Date: 09/15/2010

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In our Initial Flash Crash Analysis and in our continued Crop Circle Of The Day page, we have shown an algorithm originating from the BATS exchange, which we deemed "CancelBot".

As of 09/15/2010 it has been two complete weeks that we have not seen a single occurrence of CancelBot. This is unusual in that CancelBot was an algo easy to find and ran on every trading day. It appears the BATS exchange has done due diligence, ferreted out this algo and put a stop to it. We will continue to monitor for signs of a CancelBot reappearance but as of this writing we are happy to report CancelBot is no more.

Below is a small description of CancelBot and a few images demonstrating it's behavior:
CancelBot is unique to the BATS exchange. CancelBot can effect the ask side and the bid side simultaneously or independently. On the bid side it will start near the BBO, cancel the order, drop the order by a penny, cancel the order, drop the order by another penny and again cancel the order, until the price reaches 0.01 and the sequence starts back near the BBO. Conversely the ask side of the algorithm raises the price by a penny until a level is hit when it reverts back to near the BBO. CancelBot generally runs from 100 quotes to 1,000 quotes a second.

(Click on any image for a high resolution image)


Publication Date: 09/15/2010

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