Nanex Research

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March 20, 2012 ~ BATS Trade Blast.

A gap in trade report executions from BATS occurred in many symbols from about 9:39:10 to 9:52:41. At 9:52:41 a sudden explosion of trade report executions from BATS were blasted across the wires. Looking at the prices, it appears these trades were executed during the outage, but became stuck in some outbound queue at BATS. However, looking at the timestamps, one would never know that most of these trades occurred minutes earlier. The charts below show the trade gap and subsequent blast of BATS trades in just a few of the symbols we looked at: SPY, AAPL, QQQ, GLD, NFLX and  SINA.

SPY 1 second interval chart showing BATS trades (circles) and quote (pink shading).

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SPY 25 millisecond interval chart. Note how far away the trades (circles) are from the quote (pink shading). You can clearly see the price pattern matches the market for the period of time that BATS trades were not sent.

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AAPL Stub Quote
A stub quote $27 below best bid executed in Bats-Y.

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One second interval chart of AAPL showing BATS trades (pink) and NBBO (National Best Bid/Offer) shaded gray for normal market, yellow for locked market (bid = ask) or red for crossed market (bid > ask).

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BATS Trade blast in QQQ

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BATS Trade blast in GLD

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BATS Trade blast in NFLX

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BATS Trade blast in SINA

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Quote/Trade ratio impacted by BATS Trade blast. Chart shows # quotes per 10K of stock traded

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 Nanex Research