Nanex Research
Nanex ~ 25-Jul-2013 ~ Facebook Time-warp
On July 25, 2013 at about 11:06:38, trading in Facebook entered a time-warp. Or exchange
networks overloaded. The charts below tell that story and more:
1. FB - Trades color coded by reporting exchange and NBBO (dark gray shade).
Note the late trade reports from EDGX and Dark Pools. This is a sign of overload somewhere
in exchange networks.
2. FB - Zooming out showing trades color coded by reporting exchange.
Note the sea of green from Dark Pool Trades, where 33% of trades and 45% of Facebook
shares were executed in the 17 minute time-frame shown below.
3. FB - Same as chart 2 but removing Dark Pool trades so you can see the participation
from the lit exchanges.
4. FB - Best bids and asks color coded by reporting exchange.
Dark Pools don't quote - they base their trades off the "public quote" - which is what
you see in this chart.
5. FB - All bids and asks from all reporting exchanges.
The lowest priced ask
and the highest priced bid at every point in time becomes the best ask and best
bid respectively.
6. FB - Zooming in on Chart 1 showing about 2 seconds of time.
Clearly, trades from one exchange are getting delayed somewhere.
7. FB - Showing only EDGX trades (red diamonds) and quote spread (blue shading).
The red diamonds (trades) should be inside the blue shading (quotes). A clear indication
some people are getting information before the public.
Nanex Research
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