Nanex Research
Nanex ~ 15-May-2013 ~ Late Trade Reports
Reg NMS prohibits core information (time, price, size) from being sent to a direct
feed earlier than the consolidated. Yet this is exactly what happened with trade reports
from EDGX. Alas, this type of thing is so common that it reaffirms the belief that regulations
are merely suggestions.
16-May-2013 Update: added more examples in MSFT and CSCO
1. BAC - showing trades color coded by exchange and NBBO (gray shade) over 1
second of time.
Note the lag in the blue diamonds (EDGX) and green squares (TRF - dark pools, internalizers).
2. BAC - showing trades and quote spread from EDGX.
3. MSFT (May 16, 2013) - showing trades color coded by exchange and NBBO (gray shade) over 1
second of time.
Note the lag in the blue diamonds (EDGX) and green squares (TRF - dark pools, internalizers).
4. MSFT (May 16, 2013) - showing trades and quote spread from EDGX.
5. CSCO (May 16, 2013) - showing trades and quote spread from EDGX.
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