Nanex Research

Nanex ~ 29-Aug-2012 ~ Quote Blast in SIG at Market Open

On August 29, 2012, starting 2 minutes before market open, quotes from 11 exchanges showered the stock of Signet Jewelers Limited (symbol SIG) with 40,000 quotes. There were no trades before market open. Earlier the same morning, BAC was hit with a blast of 24,000 quotes from BATS.

The following time interval charts show bids and offers color coded by exchange.

1. SIG 1 second intervals.

2. SIG 1 second intervals. Showing bids and offers that set the NBBO (National Best Bid or Offer).

3. SIG 200 millisecond intervals.

4. SIG 25 millisecond intervals.

5. SIG 1 millisecond intervals. Chart shows 1 second of data.

6. SIG 5 millisecond intervals. Zoom of market open (9:30).

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