Nanex Research

Nanex ~ 2-Jun-2014 ~ Information Asymmetry

Another case of Direct Feeds getting data while SIP customers do not. For 20 minutes! The last time there was "information asymmetry" on this scale, Nasdaq shut down for 3 hours. When asked why, Robert Greifeld explained they decided to shut down because of "information asymmetry":
There were two distinct incidents and they overlapped:

Start Time End Time Duration Symbols Affected
12:34:29 12:55:39 12.3 minutes Nasdaq quotes in NYSE/ARCA/AMEX symbols starting with the letter "S"
12:53:30 13:05:50 21.2 minutes All exchange quotes in NYSE Listed Symbols A through AWZ, and ARCA/AMEX symbols A-DOZ


1. SPY - Nasdaq Quote Spread.
Note the gap from 12:35 to 12:55.
2. SPY Nasdaq Trades.
No gap in trades.
3. SPY - Nasdaq Quote Spread and NBBO (Red shading shows where NBBO was crossed).
4. SPY - Trades from all Exchanges.
5. SPY - Best Bids and Asks.
Only Nasdaq quotes had an outage.
6. DIA - Quotes from all Exchanges.
Note the gap from 12:54 to 13:07.
7. DIA - Trades from all Exchanges.
Trades not affected (direct feeds were functioning normal).

Charts showing CQS data. CQS is the SIP that carries quotes for stocks listed on NYSE, NY-Arca and NY-Mkt.

For more charts and information on CQS see also:
8. CQS by multicast line.
Note the drop in line 1 (purple). Line 1 carries symbols starting with the letters A through AWZZZ.
9. CQS Multicast Line 1: NYSE, NY-Arca and NY-Mkt Listed Stocks A through AWZZZ
10. CQS during the time Line 1 was restored. Chart shows 1 second of time.
11. CQS Quotes by Reporting Exchange. Bottom panel shows each exchange as % of total.
Note the odd oscillations from NYSE (bottom panel).

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