Nanex Research
Nanex ~ 11-Feb-2013 ~ NBBO? What's an NBBO?
On February 11, 2013, quotes from ARCA (PACF) became severely delayed in a dozen or
more stocks and caused the NBBO (National Best Bid/Offer) to lock (bid = ask) and cross
(bid > ask). TTEK was one of those stocks. Watch how this condition affects the price
of this stock (yet doesn't seem to affect trading at ARCA). We wonder how trade-through
price protection can function when the NBBO is crossed.
More on NBBO.
1. TTEK showing best bids and asks color coded by exchange and NBBO shaded red: bid > ask, yellow: bid = ask, or gray: bid < ask.
2. TTEK showing trades color coded by exchange and NBBO shaded red: bid > ask, yellow: bid = ask, or gray: bid < ask.
3. TTEK showing trades and quote spread for ARCA.
Guess ARCA's quote doesn't matter.
4. TTEK showing trades and quote spread for ARCA (red) and Nasdaq (gray).
Note how wide Nasdaq's quote gets when ARCA's quote is having problems.
5. TTEK showing trades and quote spread for ARCA (red) and EDGX (blue).
Note how ask from EDGX sticks to bid from ARCA: clearly influenced by problem at ARCA.
6. TTEK showing trades and quote spread for ARCA (red) and BATS (pink).
Note how ask from BATS sticks to bid from ARCA.
7. TTEK showing trades and quote spread for ARCA (red) and Boston (green).
Note how ask from Boston sticks to bid from ARCA, and then stops.
Nanex Research
Inquiries: pr@nanex.net