Nanex Research
Nanex ~ 20-May-2013 ~ Crowding Out Participants
On May 20, 2013 in the stock of Tableau Software Inc (symbol DATA, market cap $2 Billion),
quotes from NYSE began fluttering, changing price hundreds of times per second. During
this fluttering, it appears that trading in other venues, notably dark pools, was suppressed.
1. DATA - bids and asks color coded by exchange and NBBO (gray shade). Chart
shows just 1 second of time.
Take a good long look at this chart - note the speed and magnitude of quote changes
during this one second of time. Many bid prices exceed other ask prices during this
one second.
2a. DATA - bids and asks color coded by exchange and NBBO (gray shade). Zoom-out
to about 30 seconds of time.
2b. DATA - trades coded by exchange and NBBO (gray shade), over the same time
period as chart 2a.
Note the explosion of dark pool trades (green squares) after NYSE quotes stops fluttering.
Did the fluttering suppress trading?
3. DATA - bids and asks color coded by exchange and NBBO (gray shade). Zoom-out
to about 2 minutes of time.
The cluster of blue is actually thousands of quote price changes from NYSE.
Nanex Research
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