Nanex ~ 10-Feb-2014 ~ Market Open Mystery

When Exactly Does the Stock Market Open?

Update February 13, 2014: More examples in SPY and QQQ.

There is a problem with timestamps and/or the marking of the Form-T (pre or post market trade) condition that manifests itself in the first second of trades reported from 2 exchanges: Nasdaq and NY-Arca. This is similar to what we found at market close, which also involved the same 2 exchanges (see News Leaks at Market Close, our study, which led to a pair of stories in the Wall Street Journal by Scott Patterson).

The 3 charts below show 5 seconds of trading in FaceBook during market open on January 30, 2014 between 9:29:58 and 9:30:03. Each image alternates between trades marked with Form-T (pre-market) and trades not marked Form-T (regular session, ISO, etc.). See this page for more examples of this phenomenon.

Pre-Market trades from Nasdaq are showing up after 9:30..

The transition between pre-market and regular session takes place about 1/2 second after 9:30. Note that a significant number of pre-market trades appear after 9:30. There is also an interesting 250 millisecond gap in Nasdaq trades before 9:30 - but we think that is just coincidence. There should be no Form-T trades after 9:30.

..and trades from NY-Arca show a similar pattern..

The transition between pre-market and regular session shows up in trades from NY-Arca almost a full second after 9:30. There should be no Form-T trades after 9:30.

..but trades from other exchanges show the transition at exactly 9:30.

The chart below shows trades from the other 7 exchanges - note that the transition between pre-market and regular session comes at exactly 9:30. Because of this expected behavior in data from other exchanges, we can rule out a malfunction in the SIP aggregation process.

Update: More examples from Market open on February 7, 2014.

SPY - Trades from Nasdaq and Arca show pre-market trades printing after 9:30.

SPY - Trades from other exchanges show a clear cut-off at 9:30.

QQQ - Trades from Nasdaq and Arca show pre-market trades printing after 9:30.

QQQ - Trades from other exchanges show a clear cut-off at 9:30.