Nanex Research
Nanex ~ 19-Dec-2012 ~ Systemic Dark Pool Tardiness
During market wide momentum ignition events: where trades execute in hundreds of symbols
at the same millisecond, we've noticed the dark pool trades always, always, always come
quite a bit after lit market trades.
The 3 charts plot trade execution prices (y-axis)
between 0 and $145 during a 6 second period of time starting at 11:21:11 on December
19, 2012. Each pixel width corresponds
to 5 milliseconds of time. SPY trades show up
near the top at $145. What these charts show, is that dark pool trade execution are
consistently reported late for all symbols. We think traders and investors that use
consolidated market data deserve better.
See also Tardy Trade Reports
in Apple, and Light before Dark.
Click Start/Stop to run a slide show of all 3 images, or Prev/Next to step through them one
at a time.
Nanex Research
Inquiries: pr@nanex.net