Software & Stock Exchanges—Not Skynet Yet

A week after the Nasdaq’s 3-hour shutdown in August 2013 the exchange published Preliminary Findings on the outage.   I’ve extracted some sentences: On August 22, the Securities Information Processor (SIP) received more than 20 connect and disconnect sequences from NYSE Arca, each of which consumed significant resources. Available capacity was further eroded as the SIP received a stream of quotes for inaccurate symbols from NYSE …

Read moreSoftware & Stock Exchanges—Not Skynet Yet

The “Sell Algorithm”, the Flash Crash, and Limit Orders

The recent report from the SEC and the Commodity Futures Trading Commission on the Flash Crash fingers an automatic sell program executed by a “Mutual Fund Complex” as the trigger of the crash.  Starting at 2:32 p.m. EDT on the 6th of May this program, referred to as the “Sell Algorithm” automatically sold short 75,000 E-Mini S&P futures contracts (approx 4.1 Billion dollars worth, equivalent …

Read moreThe “Sell Algorithm”, the Flash Crash, and Limit Orders