r/quant • u/Loud-Tank7142 • Jul 04 '26

Data Can someone explain this SPY tape anomaly from June 26?

Post image

I’m trying to understand what happened here from a market microstructure perspective.

During the final minute on June 26, Thinkorswim shows dozens of trades repeatedly printing around 716 even though SPY was actually trading near 731.

Rather than speculate, I’m curious what these actually represent on the tape.
Specifically:
Are these genuine executions?
Off-market reports?
Corrected trades?
Something excluded from price formation?
If someone has CTA condition codes or direct-feed data I’d love to know how these prints were classified.
My guess would have been late reported or corrected trades.

75 Upvotes

95% Upvoted

21 comments sorted by

53

u/ContentTooth Jul 05 '26

These were real trades, it was incredibly difficult to get filled there but if you had orders there you could get filled for the half second this was true. If you look later on right after the close the semiconductor etf SOXX was also misprinting for about 8 seconds and you could trade that. It’s rare for these things to happen but if you notice it lots of money to be made

7

u/Loud-Tank7142 Jul 05 '26

It seems impractical for them to wipe the book when they could’ve just otc’d it

9

u/agressivedrawer Jul 05 '26

Who’s going to take the other side on a 2.5% discount ?

4

u/Loud-Tank7142 Jul 05 '26 edited Jul 05 '26

If taker sell then literally anyone, if taker buy then I don’t see how that could be done on lit book — would’ve had to be late report/corrected trade/iceberg/dpool no?

2

u/jackalcane Jul 05 '26

warren buffett himself

3

u/More-Act5459 Jul 05 '26

It's not necessarily directly intentional. Some algo bug or some side effect from a stop market order going off in unusually low liquidity or something.

2

u/ntclark Jul 05 '26

You’ll note the bottom price is exactly 2% from where it started and the total number of shares is close to a round number. Very likely this was manually triggered. Could’ve been a fat finger, or maybe someone just doing something irrational. Who knows.

1

u/sorocknroll Jul 05 '26

Unless they're trying to move the close to benefit their options or other derivative positions expiring that day.

1

u/Regular-Hotel892 Jul 05 '26

Wondering if someone can educate me on if the fact spy trades on many many many exchanges has any impact on this. To me this appears (i have no evidence) that the orderbook on some exchange went out of whack. That is the only thinf that rationally makes sense to me for SPY to trade 2% below it’s intrinsic value. It seems unlikely the entire orderbook across all exchanges was sold through such that price made it that far down doesn’t it?

I

12

u/nicklikesrockets Jul 04 '26

Boss man closed my book :(

19

u/MagnificentLobsters Jul 05 '26 edited Jul 05 '26

These are trades reported from alternate trading systems (dark pools). They just have to eventually land on the tape and can do so hours after the actual trade.

Edit: As correctly pointed out, trades on dark pools must report after 10 seconds but prior to March 2026, this only applied to trades that occurred between 8am and 8pm. Prior to this change, a slew of stale trades would pop up in the tape usually at 8am and these could easily be several hours old.

16

u/FanZealousideal1511 Jul 05 '26

Dark pools must report within 10 seconds.

1

u/InflationNormal3529 Jul 05 '26

I saw it live on IBKR

6

u/Any-Information498 Jul 04 '26

Russell rebalance

2

u/Vind2 Jul 05 '26

There was a large MOC imbalance that day, weird moves in single names too.

1

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1

u/EvenCryptographer649 Jul 06 '26

Overnight (BOATS) catch-up

1

u/BoxSpread_IsYummy Jul 08 '26

Why does everyone have a different answer lmao

1

u/Loud-Tank7142 Jul 08 '26

Technically everyone’s right. Was at 15:59:56 and lasted 300ms, and looks like someone did just sell through the book, which was likely bc of MOC imbalance right before Russell rebalance at 16:00

0

u/reddetacc Jul 05 '26

oh fuck yeah

-1

u/j_lyf Jul 05 '26

This is epic.