La SEC, gli ordini farciti e il flash crash del 6 maggio scorso

L'agenzia di controllo governativa della borsa U.S.A., la S.E.C. - Securities and Exchange Commission, sta approfondendo il ruolo che il cosiddetto quote stuffing può avere svolto nel flash crash del 6 maggio scorso.  Secondo il Wall Street Journal

Regulators are scrutinizing what some in the stock market are calling "quote stuffing," trading in which unusually large numbers of orders to buy or sell stocks are placed in a fraction of a second, only to be canceled almost immediately.
The Securities and Exchange Commission has begun looking into whether the practice is putting some investors at a disadvantage by distorting stock prices, according to people familiar with the matter. The SEC is looking at what role, if any, quote stuffing played in the May 6 "flash crash," when the Dow Jones Industrial Average collapsed 700 points in minutes, the people say.

Traders say the phenomenon of huge bursts of orders flooding stocks and then getting canceled has risen with the growth of high-speed computerized trading in recent years.
In addition, the SEC is looking into another practice in which large numbers of orders are placed. In these cases, what's unusual is that the orders are priced in increments as small as one-tenth of a cent and far away from the actual price at which a stock is trading, says a person familiar with the line of inquiry.
The SEC is seeking to learn whether such orders, known as "sub-penny pricing," are used to manipulate the market, this person says, which would be illegal. At issue is whether the practice could artificially torpedo stocks' prices or help make it appear that there is more trading volume in a stock than there really is, allowing sellers to profit when demand for the stock appears elevated. The agency has identified about half a dozen investment firms to question regarding "sub-penny" orders, this person says, and the inquiry is expected to take months to complete. The firms identified aren't necessarily suspected of wrongdoing, and it is unclear whether there will be a formal investigation. An SEC spokesman declined to comment on the inquiry.

Secondo il WSJ il flash crash del 6 maggio è servito a richiamare l'attenzione sui rischi del trading ad alta frequenza e su alcune pratiche associate, tra cui proprio il quote-stuffing.

Issues surrounding canceled orders have gained exposure in recent weeks since Nanex LLC, a stock-data provider, published data showing large swaths of canceled orders on May 6 and also identified other examples taking place before and since.
For example, on Aug. 17, from the start of stock trading at 9:30 a.m. until just after 9:51, there were, on average, 38 orders every second to buy or sell shares of Abbott Labs through the New York Stock Exchange, according to Nanex.
Then, in the span of one second, 10,704 orders hit Abbott and in the next second, another 5,483. And all but 14 of those combined orders were canceled within one second, according to data from Nanex. (...)

"There are dozens, sometimes hundreds of these occurring every day," says Eric Hunsader, one of the founders of Nanex, who theorizes that distortions caused by "quote stuffing" were so large on May 6 that they helped destabilize the market.
Nanex has shared data with regulators. SEC officials have held conference calls to discuss Nanex data and theories, say people familiar with the matter. Issues related to high-volume cancellations could be part of the agency's report on causes of the flash crash, say people close to the matter. The report is expected to be released within the next month.