NYMEX Black Swan ~ The March 2012 Crude Oil Futures Quote Loop
On February 13, 2012, starting 13:59:57, quotes for crude oil began queuing. At 14:00:35, all of the queued quotes were sent at once. Again at 14:01:08 the same 38 second block of quotes sent earlier was sent again — old timestamps and all plus a few new quotes. Again at 14:01:18, all quotes since 13:59:57 were sent again. This repeated 12 times.
From a programmer’s perspective, it looks like a system problem caused a blast of quotes that corrupted a memory queue causing the software to believe the queue was full all the time.
Tick chart of bid prices (red) along with quote age (blue).
Note that as the cycle repeats, it includes a few more quotes (the new quotes + those since 13:59:57). There are 500 quotes between time axis labels.