Nanex Research

Nanex ~ 07-Nov-2012 ~ Apple Crosses Over to the Dark Side

Dark pool trading in Apple during its sell off and recovery accounted for 36% of trades and 47% of shares. In the charts below, the legend entries for NQNX and NTRF represent trades reported from non-lit markets (dark pools and internalizers).

1. AAPL ~ 1 second interval showing all trades color coded by exchange.

2. AAPL ~ 1 second interval showing non-ISO trades color coded by exchange.
For non-ISO trading, a full 60% of trades and 72% of shares were executed in non-lit markets!

3. AAPL ~ 1 second interval showing ISO trades color coded by exchange.

4. AAPL ~ 1 second interval showing sub-penny trades color coded by exchange.
Sub-penny trades are mostly executed by internalizers. About 14% of trades and 20% of shares executed at sub-penny prices.

5. AAPL ~ 1 second interval showing trades color coded by exchange.

6. AAPL ~ 20 millisecond interval showing trades color coded by exchange.
Trades from Dark Pools are allowed to be reported up to 90 seconds late, which makes it difficult to analyze prices.

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