During the market close in SPDR S&amp;P 500 ETF Trust (SPY) (and dozens of related ETFs) on February 29, 2012, a delay of about 1.25 seconds developed in quotes from Nasdaq relative to quotes from other exchanges. Execution trade prices from Nasdaq appeared synchronous with trade prices from other exchanges, which shouldn't be possible, since Nasdaq's quote was behind. We also noticed an anomaly in the trade condition.
On April 11th 2014, we were alerted to some "tails" in facebook from a twitter user named @SellPuts. We dug into it a bit more and it appears that those "tails" were caused by some Nasdaq TRF Darkpool prints. However nothing was quoting at that price during that time.
What stock or ETF had thousands of trades in a day, but didn't officially trade? The answer is First Trust Australia AlphaDEX (Symbol FAUS, an ETF). On December 12, 2013, there were 2,897 trades in FAUS, for a total of 14,194 shares. The average trade size was 4.89 shares. The largest trade had 15 shares, which means all the trades were "Odd Lots". Odd Lot is a term for a trade with less than 100 shares. The thing about Odd Lots is that they aren't eligible to set the open, high, low or close value for the day.
On September 16 at 13:30:39.549 option trades and quotes ceased across the board. Quotes came back briefly for a few minutes at the CBOE and C2, then went silent. Trades appear almost 2 seconds after quotes, and after trades from other exchanges. Something got stuck.
It appears another event of information asymmetry: that's where exchanges send quotes to High Frequency Traders, but not the SIP (everyone else). Nasdaq listed symbols LL through Z appear to have lost quotes for approximately 10 minutes (11:38 to 11:46:30). One example is shown below, QQQ is an actively traded ETF.
The chart below plots the count of messages from the SIP (Securities Information Processor - the consolidated feed) processing Tape C Line 5, which carries quotes from Nasdaq Listed stocks between 11:33 and 11:51 EDT on September 4, 2013. The flat line indicates a complete outage.
When quotes stopped just before 12:05 EDT - trades continued for at least another 15 minutes in lit markets, and for much longer in dark pools. A curious thing about the dark pool trade reports. There were two bands of prices - one band at the last known NBBO, and another band at the last reported trade. How is it possible for trades to occur when quotes stop?
Charts of trade and quote statistics for all (~8,000) NMS stocks for each minute of the regular trading session (9:30 to 16:00 between July 22, 2013 and August 22, 2013. Each line is colored by date - the older dates colored towards the purple end of the spectrum while the more recent dates are colored towards the red. August 22, 2013 is the thick red line.
Another instance of quotes not updating, but trading continuing as if nothing was wrong. This is because exchanges are providing data to High Frequency Traders via direct feeds ahead of the SIP or consolidated feed. This is a clear violation of Reg NMS (what the SEC fined the NYSE $5 Million for). In fact, this behavior renders Reg NMS moot.
Well before the Nasdaq blackout at 12:20 EDT on August 22, 2013, there were significant quote outages in large stocks, some lasting 20 minutes. However, trades continued as if there were no problems: which is clearly a violation of Reg NMS trade through price protection.
In 2012, the U.S. stock markets were close on October 29th and 30th because of Hurricane Sandy. Unfortunately, 174 stocks that were scheduled to go ex-dividend during the two closed sessions were processed by the exchange as if trading would be open on those days.
While scanning our database back to 2005 for events with crossed Nasdaq quotes matching what we found during FaceBook's IPO, we found a similar, though not close match in Intel (symbol INTC) on August 27, 2010. Suddenly, at 09:58:06.470 that morning, quotes from all reporting exchanges were sent with zero prices and a quote condition of "Market Maker Closed" and Intel stopped trading for over 15 minutes.
On May 18, 2012 beginning at 11:29:52 and continuing for almost 17 seconds until 11:30:09, quotes and trades from reporting exchange Nasdaq for all NYSE, AMEX, ARCA, and Nasdaq listed stocks completely stopped. In exchange-speak, 17 seconds is 17,000,000 microseconds - an eternity by HFT standards. It's amazing no one noticed. This was immediately before Facebook began trading.
Looking at quotes on the stock symbol UOIL (an oil related ETF) makes us wonder who in their right mind would allow this. If you wanted to buy this "stock", the price could change from $48 to $73. Suddenly. For no economic reason whatsoever. And it does this every few seconds. There are exactly zero trades during the 90 minutes shown in the charts below. Probably for good reason.
On Monday, April 16, between about 15:16:20 and 15:27:55, quotes stopped updating from EDGE in stocks between approximately SO through TZ. SPY was one of these stocks. You can see in the charts below that trading was unaffected, but the stale EDGE quote caused the NBBO to cross severely.
On April 4, 2012 beginning at 15:20:35, BATS had a system problem where quotes in symbols A through BZZZ were not updating and caused crossed markets for about 5 minutes (longer than the flash crash). BATS had a near identical problem during their IPO 2 weeks earlier.
A gap in trade report executions from BATS occurred in many symbols from about 9:39:10 to 9:52:41. At 9:52:41 a sudden explosion of trade report executions from BATS were blasted across the wires. Looking at the prices, it appears these trades were executed during the outage, but became stuck in some outbound queue at BATS. However, looking at the timestamps, one would never know that most of these trades occurred minutes earlier.