Nanex Research
Nanex ~ 19-Jul-2012 ~ Memo on Use of Market Orders
In case anyone missed the memo, the use of market orders practically guarantees poor
fills. Use of limit orders practically guarantees that you will have to wait minutes, hours,
or forever for your fill, because a market maker has jumped in front of your
order by 1/100th of a cent in order to give the retail customer a (slightly) better price. But limit
orders are another topic.
On July 19, 2012,
someone trading IBM apparently didn't get the memo on market orders.
Charts should be self explanatory.
1. IBM 1 second interval chart showing NBBO (gray shade) along with trades (circles) color coded by reporting exchange.
2. Zooming in to the 2nd and 3rd circled areas from chart 1 (above).
3. Zooming in to the left price spike from chart 2 (above). Note that 64 trades for 12,241 shares are shown.
4. Zooming in to the right price spike from chart 2. Note that 87 trades for 12,195 shares are shown.
5. Zooming in to the first circled area from chart 1. Note that 90 trades for 12,056 shares are shown.
6. IBM 1 second interval chart showing best bids and offers color coded by reporting exchange.
7. IBM 1 second interval chart showing all bids and offers color coded by reporting exchange. Quite a mess.
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