Feb. 17, 2016 : Vindicated!

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March 25, 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 the Dow Jones Industrial Average. The oscillations then abruptly stopped and in less than 2 seconds, the price collapsed 5.3% from its peak: the equivalent of a 760 point drop in the Dow. After reaching bottom, the market was halted for 10 seconds.

June 27, 2014 : 143 Stocks Move 2% in Seconds

On Friday, June 27, 2014 at 15:50:00 - 143 stocks suddenly moved at least 2% (with some exceeding 10%) in just a few seconds. There were 678 stocks that moved 1/2 of a percent or more.

June 16, 2014 : Schwab Swoons 5%

On June 13, 2014 at 9:32:46, the stock of Nike, Inc. (symbol NKE, market cap $65 Billion) suddenly dropped 2% in less than a second on thousands of trades. 9 exchanges and an unknown number of Dark Pools and ATS participated vigorously. There were plenty of quotes - with some exchanges sending 20 to 30 for each trade during the event. This will simply be another event to add to a growing list.

May 30, 2014 : Time Warner Double Dips

On May 30, 2014, the stock of Time Warner, Inc (symbol: TWX, market cap: $61 billion) experienced two sudden drops about 6 minutes apart:

Aug. 12, 2014 : DD

Aug. 11, 2014 : Citadel's Rogue Algos

On June 16, 2014, FINRA posted a letter Letter of Acceptance, Waiver, and Consent from Citadel for 4 separate issues (CDRG is Cidatel Securities, LLC).

Aug. 1, 2014 : Gold Fever

Huge sell order, followed by huge buy order in December 2014 Gold (GC) Futures.

July 1, 2014 : The Odd Lot Bot

There is a new High Frequency Trading (HFT) Algo afoot, probably designed to measure, or cause system latency. This algo sends extreme bursts of 1-share orders in a symbol to two different exchanges: Nasdaq and BATS.

June 27, 2014 : Russell's Jolt

On Friday, June 27, 2014 at 15:50:00 - 143 stocks suddenly moved at least 2% (with some exceeding 10%) in just a few seconds.

June 26, 2014 : The Yen Events

Trading in Japanese Yen futures had two notable events within a 34 hour period. The first event was a trading halt after release of the U.S. GDP at 8:30 AM (EDT) on June 25, 2014: it was the only instrument in the world that we know of which halted then.

June 13, 2014 : Nike: "Just Do It (to me HFT)"

On June 13, 2014 at 9:32:46, the stock of Nike, Inc. (symbol NKE, market cap $65 Billion) suddenly dropped 2% in less than a second on thousands of trades. 9 exchanges and an unknown number of Dark Pools and ATS participated vigorously. There were plenty of quotes - with some exchanges sending 20 to 30 for each trade during the event. This will simply be another event to add to a growing list.

June 5, 2014 : Euro Mini Halts on ECB News

On June 5, 2014 at 7:45 EDT, it appears the Mini version of the Euro Currency futures at CME collapsed and halted for 10 seconds while trading continued in the regular and micro contracts.

June 5, 2014 : Currency Art

Charts of currency data during the June 5, 2014 ECB Interest Rate news release at 7:45am EDT. Each line represents the percentage change in price (bid/ask midpoint) since 7:45 for one currency pair. Not all pairs are shown (because this is mostly art).

May 23, 2014 : Manipulating Gold

The charts below show the active Gold Futures contract on June 28, 2012 during the London afternoon gold fixing (3pm London time, 10am Eastern Time). This is when the FCA said a trader at Barclay's intentionally manipulated the price lower.

May 19, 2014 : NEWL's Dozen Trading Halts

On May 19, 2014, the stock of NewLead Holdings Limited (Symbol: NEWL) halted 12 times during the regular market session. Perhaps the new Limit Up/Down (LULD) circuit breakers needs some tweaking? It would probably be a good idea before the next flash crash - here's how LULD would have fared if it was in place on May 6, 2010.

May 15, 2014 : Natural Gas Oscillations

June 2014 Natural Gas (NG) Futures trades (squares) and quote spread (gray shading). Chart shows 220 milliseconds of time.

May 13, 2014 : 15:49:41 Flash Crash Event

On May 13, 2014 at 15:49:41, at least 28 stocks suddenly jumped or dropped in price while 99 stocks had 50 or more trades during the one second period. During the same one second, $268 million worth of NMS stocks traded. Chart 2 below puts this in perspective.

May 1, 2014 : Silver Futures Halt

On May 1, 2014 at 8:04:31, Silver Futures halted for 10 seconds after a sudden price drop. Compare this to the 10 second overload in Treasuries the next day.

April 23, 2014 : Russian Activity

On April 23, 2014 at 15:42:45 - there were sudden, large price moves on high activity in RSX, RUSL, and RUSS - all ETFs based on a Russian stock index.

April 21, 2014 : Palladium Double Halt

On April 21, 2014 there were 2 ten second halts in trading the June 2014 Palladium futures contract: 10:14:40 and 10:15:20.

April 21, 2014 : 21+ Micro Flash Crashes

On April 21, 2014 there were 21 micro-flash crashes events (up and down) over two short periods of time. The first event began at 10:50:18 and claimed 13 stocks, while the second event began approximately 4.5 minutes later (10:54:46) and claimed 8 stocks. Many other stocks had significant sudden moves but didn't meet our strict threshold for being classified as a micro flash crash event.

April 21, 2014 : CORN Flakes 8%

On April 21, 2014 at 9:30:05, the ETF Teucrium Corn (Symbol: CORN) suddenly dropped about 8% in a second and recovered 2 seconds later. There were many similar micro flash crashes later the same day in other stocks.

April 16, 2014 : Swiss Franc Liquidity

On April 16, 2014 at 10:35:24, about 1800 Swiss Franc Futures contracts suddenly dropped prices in 1 second. Prices mostly recovered over the following 12 seconds.

April 15, 2014 : Gold Futures 10 Second Halt

The following charts detail the halt on gold futures on April 15, 2014.