Nanex Research

Nanex ~ 17-Oct-2013 ~ Walmart Stock Collapse

Walmart dropped 5.3% in less than 1 second on about 1,000 trades (200K shares) from 11 exchanges and one or more dark pools. Price came to 1 cent of triggering a limit up, limit down (LULD) halt. LULD basically has legitimized sudden large price moves in mega-cap stocks. High Frequency Traders placed and canceled more than 4 orders at the top of book for every trade execution during the drop.

1. WMT ~ Trades color coded by reporting exchange from 15:02:28 to 15:02:55.

2. WMT ~ Tick Chart.

3. WMT ~ 1 Minute Chart.

Nanex Research