Nanex Research

Nanex ~ 09-Jul-2013 ~ Creating $13 Billion with 101 Shares

The class A stock of Petroleo Brasileiro SA Petrobras (symbol: PBR.A, market cap $88 Billion) opened at $15.61 on a 101 share trade from Nasdaq. That's a gain of $2.23, which didn't last long. About 20 seconds later, the NYSE opened at $13.58. which was $2.03 lower. What happened? Wide, sloppy quotes happened. The quote spread on this $88 Billion stock was about $20 Billion. Which means the difference between a market order to buy 100 shares and a market order to sell 100 shares was about $20 billion in market capitalization. This is why Knights rouge testing algo sent many large capitalization stocks either up over 5%, or down more than 5% - it just depended whether the test algo randomly chose to first buy or sell in that stock.

1. PBR.A Trades and NBBO.

2. PBR.A Bids and Asks color coded by exchange and NBBO.

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