The Opening Cross That Never Closed — JavaScript Bug Hunt

Briefing

Modelled on the Nasdaq Facebook IPO (18 May 2012): the opening cross recalculated the opening price, but orders cancelled during the calculation were fed back in and forced another pass. The loop never converged, the IPO opened 30 minutes late, and confirmations were delayed for hours.

cross.js recomputes until nothing changed, but it re-queues the very events it generates.

Fix runCross so it converges: only events that arrived before the pass began may trigger another one, and the loop is bounded.

Bug report

BUG-FBIPO · Priority: Critical · Reported by: market operations

runCross(book) must:

• repeatedly recompute the price while pending cancellations remain
• process each pass against a SNAPSHOT of the pending list taken at the start of that pass
• return { price, passes } — passes must be small and bounded

Observed: each pass appends its own bookkeeping event back onto the pending list, so the loop runs until the 100000-iteration guard trips.

Logs

[cross] pass 99998 pending=1 price=42
[cross] convergence guard tripped; opening delayed

The code as shipped

src/market/cross.js (editable)

// Recomputes the opening price until the book settles.
exports.runCross = function (book) {
  var passes = 0;
  var price = book.reference;
  while (book.pending.length > 0) {
    passes++;
    if (passes > 100000) return { price: price, passes: passes };
    for (var i = 0; i < book.pending.length; i++) {
      price = price + book.pending[i].delta;
      // Every processed cancellation logs a re-quote back into the queue.
      book.pending.push({ delta: 0, requote: true });
    }
    book.pending = book.pending.slice(1);
  }
  return { price: price, passes: passes };
};

Read-only context: src/market/RULES.js.