Nanex ~ NY-Arca quote lag crosses markets

Nanex Research

Nanex ~ NY-Arca quote lag crosses markets during sudden trading bursts

Beginning on March 29, 2012, every few minutes there would be a few dozen symbols with crossed quotes where a lag in the NY-ARCA quote would cause the best bid price to exceed the best ask price. Below is just one example (out of thousands).

SPY 2 millisecond interval chart showing trades and quotes from Philadelphia and ARCA on April 4, 2012 (only 2 of 11 exchanges shown for clarity). This chart shows just over 1 second of trading.
Note how the ARCA quote (red shading) is offset about 360 milliseconds to the right of the Phil quote (purple shading).
Also note how ARCA trades (red circles) appear before the ARCA quotes that could have generated them (fantaseconds).

SPY 5 millisecond interval chart showing trades and quotes from 4 exchanges: Nasdaq (gray/black), ARCA (red), Phil (Green/purple) and BATS (pink). This chart shows almost 1.5 seconds of trading.
Note how Nasdaq's quote is slightly delayed relative to BATS and PHIL at 10:33:55.150.

SPY 1 second interval chart showing NBBO and trades from all exchanges.
Except for a spike in trading activity (circle) the event (arrow) is imperceptible on even a 1 second chart.

Same chart as above but showing just the NBBO (black: bid < ask, yellow: bid = ask, red: bid > ask) and quote rate from all exchanges.
Note how often the NBBO in SPY is either locked (yellow) or crossed (red) -- these conditions are not supposed to happen often according to Reg NMS.