"'Twas the seconds before the open, and all through the market, not a trader was stirring... well apart from Johnny 5 and his algo friends."
This morning on December 13, 2012 during pre open, we noticed some abnormal trading happening in a few rather large stocks like C (Citigroup) and WFC (Wells Fargo). These stocks all suffered a "mini flash crash" right before the open swinging the prices for all of them drastically. Some of the trades were later canceled.
For a really good explanation as to why events like this occur, check out a posting from one of our friends Dennis Dick at PreMarketInfo.com
Why were the trades canceled?
According to Rule 11890(b) Clearly Erroneous Transactions all trades greater than 10% away from the prior day's consolidated closing price were able to be canceled. Here is a list of the stocks that were affected, along with some specifics about which ones were canceled and at what price.
Here is a link to all the canceled trades. All told, during the first 50ms in the min before the open (09:29:000-09:29:050) time period 141,629 shares were canceled for a total of $2,208,372.
We also tracked down all other stocks that traded during the first second before market open. All in all, 590,841 shares were traded for a total price of $15,172,339. In many cases, it wasn't enough to warrant a notice or trades being canceled, but the prices of these stocks were affected as well.
The images below show many of the affected securities in more detail in a time period spanning from 09:25-09:35AM ET.Click Start/Stop to run a slide show of all images. Or click Prev/Next to step through them one at a time.