Nanex Research
Nanex ~ 31-Oct-2012 ~ Rushing the Exit Door
The last seconds of trading on October 31, 2012 was very similar to the closing seconds
on
August 31, 2012 and
July 29, 2012. Click those links for more information on
this type of event. During the last 5 minutes of trading,
dozens of stocks had wild pricing events, which may be related.
1. SPY 1 millisecond interval showing trades and quote spread for Nasdaq (black)
and NY-ARCA (red).
A substantial delay of 150 milliseconds or more develops in NY-ARCA's quotes and trades
(red).
2. SPY 100 millisecond interval showing trades color coded by exchange.
3. SPY 100 millisecond interval showing bids and asks color coded by exchange.
4. SPY 50 millisecond interval showing trades color coded by exchange.
5. SPY 10 millisecond interval showing trades color coded by exchange and NBBO
(shaded red if crossed, yellow if locked, or gray if normal).
6. SPY 10 millisecond interval showing bids and asks color coded by exchange.
7. SPY 10 millisecond interval showing trades and quote spread for Nasdaq and Arca (PACF).
8. SPY 10 millisecond interval showing trades and quote spread for Nasdaq and BATS.
9. SPY 2 millisecond interval showing trades color coded by exchange and NBBO
(shaded red if crossed, yellow if locked, or gray if normal).
10. SPY 2 millisecond interval showing trades and quote spread for Nasdaq and ARCA (PACF).
11. SPY 1 millisecond interval showing trades and quote spread for Nasdaq and ARCA (PACF).
12. SPY 1 millisecond interval showing trades and quote spread for ARCA.
13. SPY 1 millisecond interval showing trades color coded by exchange.
14. SPY 1 millisecond interval showing trades and quote spread for Nasdaq and BATS.
15. SPY 1 millisecond interval showing trades and quote spread for Nasdaq and EDGX.
16. MDY 1 second interval showing trades color coded by exchange.
17. MDY 1 second interval showing bids and asks color coded by exchange.
18. MDY 10 millisecond interval bids and asks color coded by exchange.
Nanex Research
Inquiries: pr@nanex.net