Nanex Research

Nanex ~ 26-Apr-2012 ~ Nasdaq Datafeed Overload Trips Panic Mode
On April 26, 2012 at 13:18:24 and again at 13:39:18, the data feed carrying stock quotes for Nasdaq listed stocks (UQDF) apparently overloaded and went into what appears to be an emergency panic mode.
We have documented this before.

Update: Added charts of AAPL matching the first event (last 3 charts). The quote delay in AAPL is an astounding 1.1 seconds! Yet trades occur as if the quote wasn't delayed. Something that shouldn't happen if orders are being routed based on the SIP (UQDF), which is a pretty clear requirement in Reg NMS. We call this abomination fantaseconds and have first documented here.

UQDF 25 millisecond interval chart showing 1st event.
1 ms peak message rate for each of the 6 UQDF multicast lines plus the total.

UQDF 25 millisecond interval chart 2nd event.

UQDF 2 millisecond interval chart -Zoom of 1st event (chart 1)
Note the 10 ms bursts followed by 90 ms of silence for 1 second.

UQDF 2 millisecond interval chart - Zoom of 2nd event (chart 2)
Note the 10 ms bursts followed by 90 ms of silence for 1 second.

AAPL 2 millisecond interval chart - matching zoom chart of 1st event
Best Bid and Ask color coded by exchange. Shade is NBBO (gray for normal, yellow for bid = ask, red for bid > ask). 
Note the pulse of quotes every 100 millisecond which matches what we see in the charts above.

AAPL 2 millisecond interval chart - matching zoom chart of 1st event
Shade is NBBO (gray for normal, yellow for bid = ask, red for bid > ask). Shapes are trades color coded by exchange. 
Note the trades do not pulse like the quotes do. This is because they are sent on a different data feed (which was not saturated). But notice how the trades surge ahead of quotes. This shouldn't occur.

AAPL 5 millisecond interval chart showing trades and quotes from NY-Arca
We can match trade executions to asks, but the asks come way after the trade. Note the trades (red circles) match ask prices (red triangles), but the trades appear a full second before the quotes. This is because the quote feed became delayed. But, since order routers are supposed to route based on the SIP, and this (UQDF) is data from the SIP, how is this possible?

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