Nanex Research

Nanex ~ SPY on Jan 5, 2012

Nasdaq must still be routing based on premium direct feeds instead of CQS as per Reg NMS. The chart here would not be possible if they were following regulations.
Has RegNMS been rescinded?

Circles are trade executions -- which occur from both exchanges within a few milliseconds of each other. Note, however, how Nasdaq trades (black)  appear 65 ms before the Nasdaq quotes (gray vertical shading) that could have produced them. Nasdaq trades appear to occur 65 ms in the future, which we know is impossible. Note this chart displays about 1/2 second of time. The regulators can't see these problems because they don't have the capability to view data this way. From our experience, most exchanges also lack the capability to view data at this scale. These events occur all the time.
Note: we only show 2 of the 10 exchanges that were quoting SPY to reduce clutter. Only quotes from Nasdaq showed significant delay during this period.

A little over an hour later on the same day, we see NY-ARCA (red) exhibit the same delay in IWM that Nasdaq showed in SPY! This time we compare to EDGE-X (blue) which was more inline with the other exchange quotes and trades at the time. NY-ARCA might have been overwhelmed by the trade shredding event (large order broken into a zillion 100 lot orders and blasted immediately) that you can see on the left of the chart.

SPY on January 10, 2012
Both Nasdaq and NY-ARCA exhibit quote delays; however trade reports show no delays. Other exchange quotes appeared normal.