Nanex Research

Nanex ~ 17-Sep-2012 ~ 5 Million Dollar Fantaseconds

More examples of quotes clearly being delayed to the consolidated feed but not direct feeds. The SEC fined the NYSE $5 million for sending quotes delayed to the consolidated feed. On September 14, 2012, at 9:54:58, just 2 seconds before the Consumer Confidence news report, SPY exploded. The charts below capture the mess.


1. SPY 1 millisecond interval showing trades color coded by exchange and NBBO (Red shade: crossed. Yellow shade: locked. Gray shade: normal).
This is 1 second of trading.


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