Nanex Ongoing Research
| The iWideQuote Revisited: Earlier in the year we posted a research piece titled The iWideQuote, which demonstrated how far away the BAT-Y exchange quotes from the NBBO (which is a function of the BATS Automatic Market Maker). As is can be a little difficult to determine the magnitude of the quote ranges, we thought this animation might help. In the animation, the NBBO range is represented by a green outline. The quote range for the BAT-Y exchange is represented as a red outline. Trades are represented by white spheres and cones (there are very small in this animation, usually inside the NBBO quote range). Here is what the iWideQuote looks like when running: |