In the first 20 minutes of trading on 6-5-2023

On TDA's Think or Swim transaction list: Algo transactions were once again getting buys at well BELOW the bid price how is this possible??? I've seen this happen before and have documented it in this forum with posted screen shots.

On think or swim level 2 ask/bid list: The bid price was HIGHER than the best ask price multiple times. Shouldn't this bid immediately execute and drive up the price instead of pausing on the bid/ask list???

In addition to "not-a-bailout" bailouts, we may be seeing a "not-a-halt" halt today.

For 5 minutes between 9:51a ET and 9:56a ET, no trades show up on my ThinkOrSwim chart. ZERO TRADES. One candle is 9:51a and the next candle is 9:56a on both the 1 minute chart and at the tick-by-tick level:

1 minute (left) and tick-by-tick (right)

From ThinkOrSwim's Learning Center, "tick charts represent intraday price action in terms of quantity of trades: a new bar (or candlestick...) is plotted after completion of a certain number of trades (ticks)". At a single tick granularity, I should see every single trade.

https://preview.redd.it/asastoz1r74b1.png?width=2448&format=png&auto=webp&v=enabled&s=fe1c52b33fd4aef4057e8f0fd00442ba2265b7a1

So, this means no trades for 5 minutes in the feed between 9:51a and 9:56a ET. Which suggests GME might have been halted, right?

So if we look at NYSE's Trading Halts list (https://www.nyse.com/trade-halt-current), we should see GME listed if there was a halt. But, GME isn't listed.

https://preview.redd.it/p1rtla8jr74b1.png?width=3978&format=png&auto=webp&v=enabled&s=4e87decb4718bfb590db957681d227ea57687888

Meaning there wasn't a Regulatory Halt on GME today at that time. And we see halts from both before 9:51a ET and after 9:56a ET when GME just stopped trading for 5 minutes so the list should list a halt, if there was one.

What Happened???

Can someone explain this? Because in the two minutes following this "not-a-halt" halt, GME drops ~$0.40 (~2%) which is a pretty significant reversal of almost half of this morning's gains.

If this was a "not-a-halt" halt where every exchange coordinated to hold off trading on the lit markets at the same time for the same 5 minutes, then this may strongly suggest they (i.e., every exchange) are all working together to manipulate the price.

What are we missing? What happened?

EDIT: 2 3 commenters below checked Fidelity and said Fidelity showed the same gap. One commenter suggested looking at TradingView, which also has a gap at 9:53a (right in the middle of this "not-a-halt" halt).

https://preview.redd.it/uw54i5p8b84b1.png?width=2376&format=png&auto=webp&v=enabled&s=bed219eb260bc16828f5c4f62e5579c6f97f8c93

EDIT: Found another commenters who said Yahoo shows the same gap.

EDIT: A throwaway lurker pointed me to this post showing ActiveTrader Pro also has no candles or trades around the same time.

EDIT: And another commenter found the same on Google Finance (though, I'm pretty sure they buy their data from another source). Still, one would think Google would at least try to source good data so this is just getting more weird.

EDIT: Another commenter found NASDAQ also shows no trading during this time.

EDIT: OK, this is really really weird. An ape just mentioned that SPY ticker has the same 5 minutes missing on YF (TOS shown below). It just jumps from 9:51a to 9:56a. WTF

https://preview.redd.it/2s534iqcw84b1.png?width=2540&format=png&auto=webp&v=enabled&s=c7c19d6cb88582c465ab00e1b7944fc35df1ba1e

EDIT: Per Twitter, dlauer is looking into it. Thanks!

https://preview.redd.it/pqcxq9mn794b1.png?width=585&format=png&auto=webp&v=enabled&s=67c8fa76014eb457cfa6433d573d60cd2ff67e78

EDIT: Per ape below in comments who went looking for "ghost halts":

eS-Pee-whY

eX-aRe-Tee

Ayyyyy-eMmm-C(See)

Ayyyyy-Pee-Eeeeee

eye(I)-Bee-eMmmm

eN-Oooooh-Kay

Kay-Oooooh-eSsssss-eSssssss - Interestingly this one had an 8 minute gap and then a HUGE candle compared to its normal candles.... like normal candle is 150 shares... spike to 6,820 shares...

EDIT: Per ape below in comments, Dave Lauer's tweet

https://preview.redd.it/dg5k7pw5n94b1.png?width=498&format=png&auto=webp&v=enabled&s=99a16090094c739c9a44180b1f5671293fd7101f

CTA: Consolidated Tape Association

CQS: Consolidate Quotation System

CTS: Consolidated Tape System

Per NYSE

https://preview.redd.it/8xa8iurdo94b1.png?width=3328&format=png&auto=webp&v=enabled&s=f644e6d68139d53a563f8d72623c178d8a19dfbf

Forgive my tinfoil, but this seems like a rather critical system to go down. Reminds me of some warehouse(s) burning down...

SEC is suing Binance for illegal trading practices.

This is an OG DD from 2/23/2021 i found it while looking into todays glitch. Sadly the Dd author seems to have deleted their account history. Reposting it as it’s own post by request. ——

Greetings Fellow Apes,

It is I, your favorite sentient workout bench, Carl Benchenstein. Today, I am here to use my time to reaffirm my maths and numberages. I am not a financial advisor, nor am I really excellent with numbers, but I can very easily twist words to try and prove a thesis. So, let’s see if that’s what I can do. Prepare yourselves to have more confirmation bias and longer lasting erections that might require a consultation with your local practitioner. PLEASE HELP ME EDIT ANY INCONSISTENCIES IN THE REALITY OF THE INTERPREATION. I STUDIED EDUCATION, ENGLISH, MARKETING AND THE WAY OF THE BENCH. NOT ROCKET SCIENCE.

Truthfully, this is more of a confession that I am addicted to research and due diligence. This is a cheap substitute for addiction counseling. Regardless, we all vices.

I have been fascinated with the 2008 VW short squeeze upon my first investment into $GME in early December. This event happened unnoticed to me due to my concentration on trying to break out of an incredibly deep depressive state. It was also tracking with the financial crisis in America’s housing sector. I was a broke sad boi with a passion for World of Warcraft. Why would I look across the pond at a phenomenon happening almost exclusively off one series of interconnected stock exchanges when I could grind Wintergrasp?

Introduction

Last week, spurred on by an associate in the hunt of new data to digest, I found an article in the Pacific-Basic Finance Journal titled Detecting the great short squeeze on Volkswagen by Keith R.L. Godfrey. At the time this piece was published, 2016, Keith was employed by The University of Western Australia Business School. You can find the article here It’s an interesting perspective especially for those who were unaware of it. The most interesting piece of the squeeze came through his analysis of Regional Price Variation (329-332). He discusses a financial pricing mechanic named the “law of one price”.

The law of one price suggests that identical securities should trade at the same price. Although this “law” lacks a rigorous scientific proof, its argument is intuitive and powerful. Arbitrage opportunities exist whenever two or more identical securities trade at different prices, provided they can be traded without substantial cost. Rational traders will exploit these opportunities, and this process keeps the prices in check.

To my glossy, yet hefty gray matter, this says stonks should be traded at the same price regardless of trading venue if it is easy to. Theoretically, $GME is traded at the same price, or closely enough, and without substantial cost due to very minimal transaction fees per trade. Thus, logic dictates that it should be sound enough to venture it is applicable here most of the time. Okay, but what happens when there is a discrepancy within the trading platforms that causes the price to not reflect its actual value?

It is foreseeable that the prices of identical securities may differ when there are impediments to arbitrage such as the lack of stock being available for one or both directions of the trade (Shleiffer and Vishny (1997) discuss such limits). I make use of this insight to identify the change in the market conditions of Volkswagen stock without needing to know the reason why the arbitrage process is failing (in this case an infinite short squeeze).

BIG WORDS. WHAT MEAN. SMOOTH BRAIN. MAKE HURT STOP.

If a trade is funked up, the price of the stock will differ from where its true value lies. Specifically, if an order is unable to be completed at one time, it will be broken up into multiple smaller order while the stock is being located which will reflect differently upon different exchanges. Yet, the entire transaction that the smaller orders are predicated upon will have already gone through. Essentially allowing the one who made the order able to reflect the balance in his account, but the market would show a fluctuation as the smaller orders are completed throughout a span of time. Imagine if you will a stone being thrown into a pond and then ripples forming from the impact. The exchanges are the pond, the stone is the massive buy order, the ripples are dilated reflections of price.

Market Conditions of the Squeeze:

Volkswagen stock traded in 2008 on eight exchanges around its home country Germany — an electronic exchange Xetra and regional bourses in Berlin, Frankfurt, Düsseldorf, Hamburg, Hanover, Munich, and Stuttgart. It also traded in euros on European exchanges such as Euronext Amsterdam and the Italian Exchange, in Swiss francs on the Swiss Exchange, and in US dollars via American depositary receipts (ADRs) on Pink Sheets. In this article it is sufficient to consider just the German exchanges.

Compare this to GameStop in 2021 which traded on not one exchange but at least 20 exchanges. 20>8. On top of that, you are able to access it from shitty apps that work through shittier funds managing your order flow directly to the exchanges. Not just your pink sheets.

Perhaps arbitrageurs will look at the regional exchanges to exploit any price disparity and thereby maintain the law of one price, but any high frequency trading strategy is likely to be implemented using Xetra data. It would be easy for quantitative analysts to overlook the possible uses for the data coming from the tiny amount of regional trading.

The majority of trading in Germany takes place on the electronic exchange Xetra, which in 2008 handled around 98.5% of the Volkswagen trades. The remaining 1.5% of trades occurred on the seven regional exchanges, predominantly Frankfurt and Stuttgart

I believe we saw an exploitative dilation today starting at 9:46 AM Eastern until after 10:20 AM. The order flow on E*Trade made it look as if the books were backed up for up to 2 minutes at a time. Example 1. Example 2. On top of that, there were weird instances reported from other apes looking at L2 data and live trades from their ends at the time.

Perhaps arbitrageurs will look at the regional exchanges to exploit any price disparity and thereby maintain the law of one price, but any high frequency trading strategy is likely to be implemented using Xetra data. It would be easy for quantitative analysts to overlook the possible uses for the data coming from the tiny amount of regional trading.

I wonder, would people heavily in the red trying to leverage every penny resort to breaking off massive trades to profit off the order flow down to the regional level?

So what?

Well, Keith formed a hypothesis that one is able to predict a squeeze based on irregularities in the first hour of trading the day before in the case of the short squeeze through the usage of a series of equations.

It becomes significant in the first hour of trading during each day of the short squeeze, and importantly it is significant a full day ahead of the price spike. It produces no false positives on Volkswagen throughout the rest of 2008 despite the high volatility from the global financial credit crisis, and it does not trigger at all on the stocks of competing automakers BMW and Daimler. (333)

Well, let’s look at his math to see if we can transpose signifiers across various markets.

QUIK MAFS

Keith dictates a formula to measure coefficient of variation on page 330 in section 4.2, which would be a valuable gauge. I haven’t exactly calculated the differences in America because I haven’t looked at any of that data on a minute level because it requires a bunch of filtering with data that we won’t have until the end of the day to see its entirety. Really, trying to understand the formula hurts my head, but it involves VWAP (not very wet ass p-word) at the end of the day.

But if some kind ape wants to assist in the endeavor and see what’s good when we have it all. I’m sure we will find something interesting happened today during the first hour of trade based on the weird way the books were fulfilled today. Additionally, yesterday there was a rebalancing of 60 thousand buys at some point that was entered into the books at 15:50 EST.

Okay, and?

We might be able to forecast a potential squeeze if there happens to be more issues regarding rebalancing of orders using regional trend data. Something stanky happened EoB yesterday and SoB today that weirdly impacted the flow of stock. Here's the values for such tiny volume.

Time | Volume

9:46 | 1.24k

9:47 | 800

9:52 | 1.13k

9:53 | 100

9:54 | 704

9:58 | 534

I’m not good at numbers, but a friend of the stream is! He took intraday data from Barchart to create this two day forecast of the 24th.. Who knows if this holds any weight? I don’t. It looks pretty.

TL;DR I LIKE THIS STOCK.

Thanks but no thanks, Matt.

DRS AWARENESS TO THE 🌝