Nanex Research

Nanex ~ 02-Jul-2009 ~ NYSE Quote Delays

Shortly after the market opened on July 2, 2009, quotes from the NYSE in certain stocks were apparently delayed. Though the timestamps on these suspect quotes indicated they were fresh, there is overwhelming evidence these quotes were actually delayed, by several minutes in some cases.

The affected symbols all began with the letter A, B, C, or D. Here is a list of symbols that had a large number of quote updates where the NBBO was crossed (bid price was higher than ask price).


1. AIG 20 second interval showing trades color coded by exchange.
2. AIG 20 second interval showing bids and offers color coded by exchange.
3. AIG 20 second interval showing the NBBO bid/ask spread. Red shading indicates NBBO is crossed (bid > ask), Yellow shading indicates NBBO is locked (bid equals ask) or gray for normal.
4. AIG 1 second interval showing bids and offers color coded by exchange. The red shading shows where the NBBO was crossed.
5. AIG 1 second interval showing only the best bid and offer color coded by exchange.
6. AIG 1 second interval showing trades color coded by reporting exchange.
7. AIG 1 second interval showing only NYSE and ARCA bid/ask spreads
8. AIG 1 second interval showing only NYSE and ARCA bid/ask spread and trades.
9. AIG 1 second interval showing only NYSE bid/ask spread and trades.
10. AIG 50 millisecond interval. Zoom of Chart 5.
11. AIG 1 millisecond interval. Zoom of Chart 10 (above).


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