Nanex Research
Nanex ~ 26-Nov-2012 ~ Facebook Can't Quote
On November 26, 2012, starting at about 9:38:34 and lasting until 9:51:27, the ask price
from NY-ARCA appeared stuck causing the NBBO to cross. Even more,
the NY-ARCA ask locked
and crossed its own bid price! It is extremely rare to see a
quote from an exchange that is locked (bid price equals ask price) or crossed (bid price is greater than ask
price). The
last known example just happened to also be in Facebook during
its IPO, only this time, it was Nasdaq's quote that was crossed!
We created
a spreadsheet of NY-ARCA quotes and trades during this time.
Note that we label NY-ARCA as PACF in the charts below.
1. FB ~ 1 second interval chart showing trades color coded by exchange.
Red shading shows where NBBO is crossed. NY-ARCA's offer gets stuck at 25.06
2. FB ~ 1 second interval chart showing best bids and asks color coded by exchange.
Red shading shows where NBBO is crossed. NY-ARCA's offer gets stuck at 25.06 (dark red
triangles at bottom of red shading)
3. FB ~ 1 second interval chart showing all bids and asks color coded by exchange.
4. FB ~ 1 second interval chart showing trades and quote spread for Nasdaq (black)
and NY-ARCA (red).
5. FB ~ 2 second interval chart showing trades color coded by exchange.
6. FB ~ 2 second interval chart showing quote spread for Nasdaq (black) and
NY-ARCA (red).
7. FB ~ 2 second interval chart showing trades and quote spread for Nasdaq (black)
and NY-ARCA (red).
8. FB ~ 2 second interval chart showing trades and quote spread for EDGX (blue)
and NY-ARCA (red).
9. FB ~ 200 millisecond interval chart showing trades color coded by exchange.
Nanex Research
Inquiries: pr@nanex.net