Nanex Research

Nanex ~ 26-Feb-2013 ~ Trading Through Berkshire

On February 26, 2013 about a dozen trades in Berkshire Hathaway Class B (symbol BRK.B) executed at prices far outside the NBBO. Wild priced trades executed at 3 exchanges - Cinc, Phil, and Chic. Each trade was from an ISO order (the work of HFT). These trades are a sign of market structure dysfunction.

1. BRK.B Showing the trade from Chic, Phil and Cinc color-coded by exchange and NBBO (gray/yellow/red shading).
All ISO trades and all executing way outside the NBBO.

2. BRK.B showing all trades color coded by exchange and NBBO.

3. BRK.B showing all bids and asks color coded by exchange.

4. BRK.B showing trades, bids and asks from Chicago.
Note the trades perfectly match existing quotes.

5. BRK.B showing trades, bids and asks from Cinc.
Note the trades perfectly match existing quotes.

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