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A hypothetical trader placed, after closing, placed a "market" order to purchase a small number of shares of a certain ETF. This particular ETF typically sees hundreds of trades per day.

Price at previous market close was say around 113.50. Hypothetical Trader's market order was executed at 114.98 at market open (setting a new 52-week high). The next trade, seven minutes later, was "back" at 113.53 (and the market proceeded from there, trading in a narrow band of a couple of cents in either direction for the next several days, as usual).

OK, so Hypothetical Trader clearly should not have entered an order after closing for market price. But:

  • Does not the exchange, or anyone else, place any sort of upper limit control on this sort of transaction? What if the counter-party for this trade had entered an ask of not 114.98 but rather 500.00?

  • Since this was clearly an anomalous trade, data for the trade seems to have been subsequently removed from most or all data reporting services--such that 114.98 no longer shows up as the 52-week high anywhere (either on the exchange site, the issuer's site, or the usual financial websites). It took around 24 hours or so for this value to be removed as the 52-week high. Who, and at what point, and under what authority, unilaterally (and arbitrarily?) decides that the price at which a certain trade was executed is going to be removed / not reported publicly?

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    Not sure why it would be anomalous. If you find someone that pays you 500 for such a share, it is a perfectly normal trade (with an anomalously stupid buyer, ok). – Aganju May 4 '17 at 10:42
  • @Aganju it seems to be anomalous because it was restated rather than restated because it was obviously anomalous as suggested by OP – MD-Tech May 4 '17 at 11:05
  • I knew it seemed a little too detailed to be "hypothetical" haha. But I sincerely feel for your loss, hope that you did not place a large order! @Aganju I think OP is hoping to find out who has the final say to decide not to report 52-week high prices done. Who decides whether it was a mistake or intentional? – MH.Q May 4 '17 at 11:29
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I don't have enough data to check this but when market data is restated for an instrument it is normally the case that a trade has been misreported. Traders and trading systems are not perfect and it seems likely that the price was misreported (probably by a trader doing data entry) and this error was caught by the back office 24 hours later at settlement from the broker reconciliation or fund administrator level and a restatement was passed to the exchange and the originating broker lowering the traded price. The trader and any customer on the buy side should see a restatement to the price of their trade and will be refunded or charged the difference in the price. Errors like this are more common on orders entered outside of trading times. There are other reasons why this might happen, including that the trade got cancelled or rejected after it was going to settlement but the error above is by far the most common reason for this. It is usually post-trade back office reconciliations that cause these kinds of changes and they have to be agreed by all parties unless fraud or other market abuse is detected.

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    The trade was not misreported, this was the price that I (Mr Hypothetical Trader) paid. When I asked my broker about this, he said "Oh, well don't ever enter an order to execute at market price when the markets are closed! This happens all the time!" – Rick May 4 '17 at 11:20
  • My question back to my broker was: "fine, so I learned a lesson I guess, but what if in this exact same situation my counter-party had entered a much much higher ask? Would this order have still gone through? – Rick May 4 '17 at 11:22
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    Why this (new 52-week high) trade has now apparently been scrubbed from the history of the world is perhaps a separate question--but I definitely paid that price for the trade, the trade was executed, and the price and the transaction showed up (as the new 52-week high) on all the major finance websites I checked--until it didn't any more. – Rick May 4 '17 at 11:24
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    That seems to be wrong (and fraudulent). I'll discuss this with our traders. – MD-Tech May 4 '17 at 12:53
  • @Rick if this happens all the time at your broker's then I think you would be wise to look how the neighbor's grass is doing. – Mindwin May 4 '17 at 14:29

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