Nanex 22-Apr-2014 ~ NBBO Misfiring

1. In symbol TNA on March 3, 2014, the breakdown by exchange of

Percent of Lit Market Trades (blue)
Percent of Time at NBBO (red)

For 18% of the total time, Chicago (Chic - bottom bars) was the NBBO, but that exchange captured less than 1% of lit market trades. Compare that to NY-ARCA (ARCA) which was the NBBO quote about 4.3% of the time but captured 15% of the trades.

2. Dividing the % of Time each exchange is at the NBBO by the % of trades executed at that exchange reveals the top exchanges missing out on trade executions.
Chicago clearly stands out.

Nanex Research

Inquiries: pr@nanex.net