Comments on: The mysterious case of the SPX spike http://www.thisisthegreenroom.com/2009/the-mysterious-case-of-the-spx-spike/ in stereo where available Thu, 09 Feb 2012 09:33:44 +0000 hourly 1 http://wordpress.org/?v=3.3.1 By: J http://www.thisisthegreenroom.com/2009/the-mysterious-case-of-the-spx-spike/comment-page-1/#comment-981 J Fri, 24 Apr 2009 22:07:11 +0000 http://www.thisisthegreenroom.com/?p=1080#comment-981 Arm, I think you may be misunderstanding me. When I say the 240 trades are lagged, I don't mean they are real trades that are showing up after the close (which is a common occurrence with traded securities but not with indices). Instead, they are just phantom prints - one every 15 seconds for an hour, at exactly the closing price - which are not representative of actual trading. The datafeed is lagging in the sense that every single day, instead of just cutting off at 4:00, it spits out a closing print every 15 seconds like clockwork and then cuts off at 5:00. Maybe this is so that if there were ever a need to restate the closing price, Bloomberg would have an hour from the close to adjust the feed. I don't know. But the regularity and constancy of the prints, plus the fact that indices simply don't change after the close, makes me absolutely confident that they are not in any way representative of trading. Arm, I think you may be misunderstanding me. When I say the 240 trades are lagged, I don't mean they are real trades that are showing up after the close (which is a common occurrence with traded securities but not with indices).

Instead, they are just phantom prints - one every 15 seconds for an hour, at exactly the closing price - which are not representative of actual trading. The datafeed is lagging in the sense that every single day, instead of just cutting off at 4:00, it spits out a closing print every 15 seconds like clockwork and then cuts off at 5:00.

Maybe this is so that if there were ever a need to restate the closing price, Bloomberg would have an hour from the close to adjust the feed. I don't know. But the regularity and constancy of the prints, plus the fact that indices simply don't change after the close, makes me absolutely confident that they are not in any way representative of trading.

]]> By: Arm http://www.thisisthegreenroom.com/2009/the-mysterious-case-of-the-spx-spike/comment-page-1/#comment-980 Arm Fri, 24 Apr 2009 17:12:35 +0000 http://www.thisisthegreenroom.com/?p=1080#comment-980 This actually proves nothing or actually disproves your point. Ok, so it is a lagging feed, kudos. But the spike still ocurrs on the consolidated data! It is eve WORSE, all the buying ocurred literally in the last minutes as the index was closing and was not consolidated until later. The 250 trades all came in at the inflated higher price. This actually proves nothing or actually disproves your point. Ok, so it is a lagging feed, kudos. But the spike still ocurrs on the consolidated data!

It is eve WORSE, all the buying ocurred literally in the last minutes as the index was closing and was not consolidated until later. The 250 trades all came in at the inflated higher price.

]]> By: Clear as Mud http://www.thisisthegreenroom.com/2009/the-mysterious-case-of-the-spx-spike/comment-page-1/#comment-979 Clear as Mud Fri, 24 Apr 2009 13:37:04 +0000 http://www.thisisthegreenroom.com/?p=1080#comment-979 Thank you! I noticed that the VAP screen defaulted to 17:00 but would have never connected it to the GIP screen and the after hours ticks. It did seem to be a bit of fear mongering at ZH. Thank you! I noticed that the VAP screen defaulted to 17:00 but would have never connected it to the GIP screen and the after hours ticks. It did seem to be a bit of fear mongering at ZH.

]]> By: Procol http://www.thisisthegreenroom.com/2009/the-mysterious-case-of-the-spx-spike/comment-page-1/#comment-977 Procol Fri, 24 Apr 2009 05:41:57 +0000 http://www.thisisthegreenroom.com/?p=1080#comment-977 Exactly why I posted on Zerohedge that this was pure nonsense. For someone who seems to know all the quantspeak, and technobabble, Durden seems woefully (or is it willfully) ignorant of these most basic mechanical quote issues. Exactly why I posted on Zerohedge that this was pure nonsense. For someone who seems to know all the quantspeak, and technobabble, Durden seems woefully (or is it willfully) ignorant of these most basic mechanical quote issues.

]]> By: Adrian http://www.thisisthegreenroom.com/2009/the-mysterious-case-of-the-spx-spike/comment-page-1/#comment-976 Adrian Fri, 24 Apr 2009 05:38:07 +0000 http://www.thisisthegreenroom.com/?p=1080#comment-976 Nice catch. Nice catch.

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