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The Infinite Trade/Cancel Loop

Painting the Tape in the Modern World

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On October 18, 2011, an unusual event occurred in the stock UNG. From 15:06 EST through 15:56 EST there were 13,167 Average-Price trades, each one immediately followed by an exchange message that canceled the trade. The trades appeared at a rate of 4 to 5 per second, and each trade was canceled before the next trade appeared. Systems that don't process canceled trades as they occur (many do this in batches to conserve precious time) may have been fooled into thinking there was more activity than really existed. Perhaps this is an algorithm's attempt at painting the tape? Or maybe someone decided it was OK to run a test during a very active market? It might also just be malfunctioning code. Regardless of the intent, events like this indicate to us that there can't be many software certification check points along the way to a release candidate. Shouldn't software that could impact trading for everyone be ISO 9000 certified?


The following pattern repeated from 15:06 EST through 15:56 EST
UNG   |15:07:03.475|15:07:03|NQEX|   8.6950|   500|   468485|AvgPrc
UNG   |15:07:03.575|15:07:03|NQEX|   8.6950|   500|   468485|Cancel
UNG   |15:07:03.675|15:07:03|NQEX|   8.6950|   500|   468507|AvgPrc
UNG   |15:07:03.775|15:07:03|NQEX|   8.6950|   500|   468507|Cancel
UNG   |15:07:03.825|15:07:03|NQEX|   8.6950|   500|   468509|AvgPrc
UNG   |15:07:04.025|15:07:03|NQEX|   8.6950|   500|   468509|Cancel
UNG   |15:07:04.050|15:07:04|NQEX|   8.6950|   500|   468517|AvgPrc
UNG   |15:07:04.200|15:07:04|NQEX|   8.6950|   500|   468517|Cancel
UNG   |15:56:23.200|15:56:23|NQEX|   8.6950|   500|   648723|AvgPrc
UNG   |15:56:23.400|15:56:23|NQEX|   8.6950|   500|   648723|Cancel
UNG   |15:56:23.425|15:56:23|NQEX|   8.6950|   500|   648746|AvgPrc
UNG   |15:56:23.625|15:56:23|NQEX|   8.6950|   500|   648746|Cancel

For a complete lists of all canceled trades, Click Here.


Publication Date: 10/18/2011

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