XLF Sets World Record In Quote Stuffing With 23.3 Quotes Per Millisecond

Tyler Durden's picture Submitted by Tyler Durden on 10/27/2010 22:25 -0500

After HoursNASDAQRenaissance

Today, the most fascinating fuck up in the stock market was not the flash dash in Renaissance Learning after hours, after the company announced it was handing out a $2 special dividend which based on some Keynesian version of mathematics resulted in a $9 surge in the stock price, but what is almost certainly a world record set in the churn of one of the most actively traded ETFs: the SPDR Select Sector Fund – Financials, better known as the XLF. As the linked Nanex data demonstrates, between the times of 14:25:18 and 14:27:20, someone sent out a total of 2,793,000 quotes on the Nasdaq exchange, an average of 23,275 quotes per second, and 23.3 quotes per millisecond! While we have not followed individual churn rates before, we assign today’s quote bombardment in the XLF the world record (for the time being) in churning empty quotes. All joking aside, the SEC should immediately figure out who the offending party in this flagrant example of quote stuffing was, and politely ask just how it is that the entity could possibly expect that someone, anyone, could possibly trade on these 2.8 million quotes in 2 minutes, and if the intention was not to actually trade based on the massive quote packet (which is the only legal option, but that’s a story for a parallel universe in which the SEC actually cares about the rulez), just what the actual intention of this world record in churn was?

Below is a visualization of the explosion in XLF churn:

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by rocker
on Wed, 10/27/2010 – 22:30

Pinch Me.

Login or register to post comments by LongSoupLine
on Wed, 10/27/2010 – 22:36

Rome just had some more fuel dumped on it.

Login or register to post comments by TheGreatPonzi
on Wed, 10/27/2010 – 22:39

Faster computers, faster networks each day: let’s face it guys. Human traders are dead forever.

Login or register to post comments by tewkatz
on Wed, 10/27/2010 – 22:39

In other news, Fujitsu now shipping 10 petaflop supercomputers based on Sparc 64 VIIIfx processors… 🙂

Login or register to post comments by trav7777
on Wed, 10/27/2010 – 22:45

Impressive…anyone who thinks Japan isn’t a de facto atomic weapons state with this type of technology at their disposal is a fooool

Login or register to post comments by Bose Einstein OracIe
on Wed, 10/27/2010 – 22:41

Looks like it occurred at a key point on the chart too. I think most of the manipulation out there is related to this kind of stunt. It’s not hard to create technical buy signals at certain points on charts. 

If the net result of this churn was raising the price a few cents just after double-bottoming on a moving average as this did, thus creating a moving average crossover and subsequent rally…mission accomplished.

My question is was it this churn that produced the rally that followed via technical buying on a short term period? Looks like it could be.

Login or register to post comments by palmereldritch
on Wed, 10/27/2010 – 23:39

Kinda like this?

Login or register to post comments by trav7777
on Wed, 10/27/2010 – 22:44

Tyler…dude..haven’t we been over this before???

The culprit is ALREADY KNOWN.  WADDELL & REED, gfdit!


Login or register to post comments by system failure
on Wed, 10/27/2010 – 22:44

Mr. Obvious would ask just what is going on with the banks stock etf maings? Maybe I should be buying before everyone else. But hey, wait a minute, maybe I should be selling cuz this is obvious overload and to rich to handle right now. With all the good news on forclosuregate, I would figure Mr. Obvious would be okay with at least 50,000 quotes per second before Mr. Obvious buys.  

Login or register to post comments by FischerBlack
on Wed, 10/27/2010 – 22:45

Since this is almost certainly algos trying to trip-up other algos, nobody will ever know the reason for it. Personally, I’ve been running an HFT system from the 3rd floor men’s room at the NYSE, second stall. I can stuff a trillion IBM quotes in Planck time while dropping a deuce. There’s plenty of room at the bottom, boys and girls.

Login or register to post comments by frankTHE COIN
on Thu, 10/28/2010 – 00:51

pass some toilet paper into my stall.

Login or register to post comments by samsara
on Wed, 10/27/2010 – 22:48


“…just what the actual intention of this world record in churn was? …”


Again,  Imagine these are individual ‘Test Runs’.   Different routines on different markets using different techniques. 

Imagine once they field test them all, at particular time,   a coordinated blitz of all markets.   FX etc.



Login or register to post comments by fuu
on Wed, 10/27/2010 – 23:53

I think you mentioned this last week and I have been thinking about it a lot since then. Certainly nightmare material.

Login or register to post comments by system failure
on Wed, 10/27/2010 – 22:47

Wait a minute, JPM has switched from Silver manipulation to XLF manipulation. Now we can sue them for this too.

Login or register to post comments by Mad Max
on Wed, 10/27/2010 – 22:52

So, just to make sure I really understand what’s going on here – a large pseudofinancial industry, “high frequency trading,” has been created on the basis of using techniques that are both obvious and blatantly illegal under clearly settled federal law?

Do I have that right?

Banana nana (republic) no nana nana (republic) etc.

Login or register to post comments by A Clear thinker
on Wed, 10/27/2010 – 22:59

As I often think about things…

“The only winning move is not to play”.

Login or register to post comments by moofph
on Wed, 10/27/2010 – 22:59

…that’s almost as fast as those robo signers.

Login or register to post comments by putbuyer
on Wed, 10/27/2010 – 23:18

I lost 3 cents to them. Fuckers

Login or register to post comments by Conrad Murray
on Wed, 10/27/2010 – 23:38

For those whose spirits aren’t completely broken and feel like doing something:

http://www.congress.org/  <—- Use the "Find your lawmakers" search box ont he right side of the page.

Login or register to post comments by LeBalance
on Thu, 10/28/2010 – 00:32

Churn, Baby, Churn!

Market Inferno!

Login or register to post comments by poor fella
on Thu, 10/28/2010 – 00:43

Uh, yeahhhhhhhh, we had a little coffee accident here….    sorry about that, no harm no foul?   xoxo

Login or register to post comments by The Axe
on Thu, 10/28/2010 – 00:56

Just broken.and no one cares….

Login or register to post comments by StychoKiller
on Thu, 10/28/2010 – 02:17

“Bots Gone Wild!  New New York unbolted.  What if you could travel the city and find the hottest robots just waiting to show you how wild they can get?  Catch the insane action when our cameras find the hottest real college robots doing things they never taught you at Mom’s Robot Factory!” — From a Futurama poster

Login or register to post comments by fiftybagger
on Thu, 10/28/2010 – 02:46

Ever read the message boards?  Sometimes informative because a lot of guys like to discuss their book, gives you an idea what people are thinking.  Know what this board tells me?  NO ONE OWNS THIS SH*TE BUT COMPUTERS!!


Now, sell all your paper, buy physical, drain all but the last couple thousand and fill the coffee cans with cash, get some popcorn, and enjoy the show.





Login or register to post comments by alleyb
on Thu, 10/28/2010 – 03:29

on 10/26 the wire services reported:


WASHINGTON (Dow Jones)–Federal futures regulators will begin seeking comments from the public on how it should develop rules to deal with disruptive trading and whether those rules should specifically address automated trading programs similar to the one used on May 6, the day of the so-called flash crash.

The Commodity Futures Trading Commission voted 5-0 Tuesday to publish a lengthy list of questions on disruptive trading practices and how to address them. The agency plans to follow up with a public roundtable on the subject Dec. 2.

The Dodd-Frank financial law gave the CFTC new powers, which go into effect next year, to police certain disruptive trading practices without the need for additional rule-making. That gives the CFTC the power to target practices like violating bids or offers, intentionally or recklessly disregarding the orderly execution of trades in a closing period, and spoofing, or intentionally cancelling orders before they can be executed


Note to ZeroHedge Pls: make sure your article is made available to the CFTC etc

Login or register to post comments by Azannoth
on Thu, 10/28/2010 – 03:56

Moore’s Law at work

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