Nanex Research

March 20, 2012 ~ Another algo test running in symbol WRS during active trading on NYSE and NY-ARCA

See also.

The 1 second interval chart of WRS below shows quotes (triangles), trades (circles -- which are hidden by the mass of quotes) and NBBO spread (gray shading) in WRS. Over 350,000 quotes and just 2 trades (400 shares). Events like this are still common, yet should have been banned months if not years ago.

Zoom 1. WRS 10 millisecond interval chart. Nasdaq quotes (gray) remain outside the best bid/offer. The best bid flutters wildly from NYSE (blue) to NY-Arca (red).

Zoom 2. WRS 10 millisecond interval chart. Note the rapid changes in the National Best Bid -- cycling from 25.70 to 25.83 between NYSE (blue) and NY-Arca (red). Why does this continue to happen?

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