Nanex ~ BATS Stuck Quote Obscures NBBO
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
Below is a 1 second interval chart of AAPL showing the Best Bids and Offers color
coded by exchange. The solid pink line is a stale BATS offer price that obscured the
true NBBO in AAPL.
One second interval chart of AAPL showing the trade executions color coded by exchange.
The red shaded area shows where the NBBO was crossed (bid > ask).
Note the trade executions along the bottom of this red shading: these are likely dark
pool trades from internalizers that match customer orders based on the NBBO price.