Nanex Research

Nanex ~ 30-Nov-2012 ~ One Year Ago

On November 30, 2011 (one year ago from when this was published), quotes from Nasdaq suddenly stopped for about 20 seconds after another explosive close where multiple seconds worth of trading were jammed into the last second. However, trading as Nasdaq wasn't affected. This is yet another example of where direct feeds illegally give data to one group of subscribers ahead of the consolidated feed. Clearly, the NBBO was ignored.

For the last 3 years (2009, 2010, and 2011), there has been unusually high trading activity in the final minutes of trading activity on the last trading day in November.

See charts of the November 30, 2012 close.

We show one example stock in detail below (SPY).

Click Start/Stop to run a slide show of all 39 images. Or click Prev/Next to step through them one at a time.

Note, green filled circles are FORM-T trades (after hours). Blue filled is the market closing print. The outline color of the circle indicates the exchange.

Nanex Research

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