Nanex Research
The SLV Event
On March 20, 2012 at 13:22:33, the quote rate in the ETF symbol SLV sustained a rate
exceeding 75,000/sec (75/ms) for 25 milliseconds. Nasdaq quotes lagged other exchanges
by about 50 milliseconds. Nasdaq quotes even lagged their own trades -- a condition
we have jokingly referred to as
fantaseconds.
Data is from CQS and uses exchange timestamps.
SLV 1 second interval chart showing trades colored by reporting exchange.
SLV 1 second interval chart showing the NBBO
Shaded black if normal, yellow if locked
(bid = ask) or red if crossed (bid > ask).
SLV 1 millisecond interval chart showing trades colored by reporting exchange.
Chart shows about 200 milliseconds of time.
SLV 1 millisecond interval chart showing the NBBO
Shaded black if normal, yellow if locked (bid = ask) or red if crossed (bid > ask).
Note the insanely high quote rate in the bottom panel. Chart shows about 200 milliseconds
of time.
SLV 1 millisecond interval chart showing the quotes and trades from ARCA (red)
and Nasdaq (black).
You can clearly see the delay in Nasdaq quotes, yet their trades aren't delayed
at all. Chart shows about 200 milliseconds of time.
SLV 1 millisecond interval chart showing the quotes and trades from BATS (purple)
and Nasdaq (black).
You can clearly see the delay in Nasdaq quotes, yet their trades aren't delayed
at all. Chart shows about 200 milliseconds of time.
SLV 1 millisecond interval chart showing trades colored by reporting exchange.
This chart shows approximately 150 milliseconds of time.
SLV 1 millisecond interval chart showing the NBBO.
This chart shows approximately 150 milliseconds of time.
Nanex Research