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The PDLI and BAC Events

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On December 9, 2011, beginning at 11:01:16, there were two anomalous and probably unrelated events in the symbols PDLI and BAC. Both events featured a large amount of trades from the BATS exchange. The PDLI event showed trade and quote price oscillations similar to an algo we previously documented in Natural Gas Futures. The BAC event was a blast of approximately 800 trades per second that sustained for 77 seconds in a row. The total number of trades that occurred in BAC in this short period of time equaled about 30% of all trades over the entire trading day.
1. PDLI Event
For 2.5 seconds beginning at 11:01:16, quote and trade prices in PDLI began oscillating with a period of approximately 200 milliseconds. The chart below is a one second interval chart showing a price spike that goes both up and down at the same time.

Below is a 20 millisecond interval chart that zooms in on the price spike from the chart above.

The next chart is a 5 millisecond interval chart showing only Nasdaq (black) and BATs (magenta), allowing us to see a clear picture of the price oscillation.

2. BAC Event
A high burst of trading activity began in BAC at 11:01:19 and lasted for 77 seconds, with the rate of trade executions averaging 800 per second. An amazing 30% of all trades and 24% of all shares traded in BAC that day were executed during this 77 second event. Most of these trades were reported from the BATS exchange (pink in the charts that follow).

The chart below shows trades (circles/squares), the best bid-ask spread (grey/yellow shading) and trade volume over 1 second intervals. In the lower panel showing trade volume for each interval, note how the wall of magenta towers over the normal trading volume.

The 25 millisecond chart below shows a close-up of the event. You can see how quickly trade prices flutter within 1 penny -- at 5.800, 5.805 and 5.810.

The 100 millisecond interval chart below shows the bids and offers from each exchange (triangles), the best bid and offer (gray/yellow shading) and the quote rate during this event.

The last 2 charts detail trades and quotes from BATS on a 1 millisecond interval. The black lines link sequential trade executions to help you distinguish the order.

Exchange Code Legend:

1 NQEX Nasdaq Exchange
3 NYSE New York Stock Exchange
4 AMEX American Stock Exchange
5 CBOE Chicago Board Options Exchange
6 ISEX International Securities Exchange
8 CINC National Stock Exchange
9 PHIL Philidelphia Stock Exchange
11 BOST Boston Stock/Options Exchange
17 CHIC Chicago Stock Exchange
59 NTRF NYSE Trade Reporting Facility
60 BATS BATS Trading
63 BATY BATS Y Exchange
64 EDGE Direct Edge A
65 EDGX Direct Edge X


Publication Date: 12/13/2011

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