On September 20, 2012, starting near market open and lasting about 4 minutes, there were
94,890 quotes in ALR.PR.B and no trades. What makes this event even more fascinating, is that 6 market makers seem to mirror each others quotes. Below is a video of a quote screen showing exchange quotes (top panel) and Nasdaq Level 2 quotes (bottom panel)
in ALR.PR.B.
The next video slows the action down to 1/20th realtime.
1. ALR.PR.B 1 second interval chart showing bids and offers color and NBBO (gray shade) 2. ALR.PR.B 250 millisecond interval chart showing bids and offers color and NBBO (gray shade) 3. ALR.PR.B 25 millisecond interval chart showing bids and offers color and NBBO (gray shade) 4. ALR.PR.B 1 millisecond interval chart showing bids and offers color and NBBO (gray shade) 5. ALR.PR.B Tick Chart (how
to read) Nanex Research
