Nanex Research
Nanex ~ 13-Dec-2013 ~ Direct Edge Crossing
Starting December 9, 2013, the number of crossed NBBO quotes in NMS stocks increased
and there was a significant jump in the percentage of crossed quotes involving Direct
EdgeX. December 9th was also when
Odd Lot trades began reporting to the consolidated feed (see
Invisible Trading). We don't know if the two events are related.
The first chart below shows a 3 day moving average of the percentage of crossed quotes involving
each exchange (the exchange's quote was one side of a crossed NBBO). Note the big jump
in the red line, which represents EdgeX.
Update: December 19, 2013
The problem was fixed before the market open of December 18, 2013. See Chart 2 below.
1. Crossed NBBO Quotes - 3 day moving average (%) by reporting exchange. January
through December 12, 2013.
2. Crossed NBBO Quotes - (%) by reporting exchange. January
through December 19, 2013.
Beginning December 18th, the problem was fixed - note the drop in the thick red line
(EDGX).
Nanex Research
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