|Start Time||End Time||Elapsed Time||Event|
|11:00:00||11:05||5 minutes||Trading to begin (postponed to 11:05)|
|11:05:00||11:10||5 minutes||Trading to begin - 2nd attempt (postponed to 11:10)|
|11:10:00||11:30||20 minutes||Trading to begin - 3rd attempt (postponed to 11:30)|
|11:10||11:45||35 minutes||Erratic prices appear in Apple, Netflix and at least 24 other stocks over next 45 minutes.|
|11:29:52||11:30:09||17 seconds||Nasdaq goes radio silent for all stocks for 17 seconds|
|11:30:09||Trades from BATS and NQ-Bost appear|
|11:30:10||Trades from Nasdaq appear|
|11:30:34 -||13:50||3 hours, 20 mins||Nasdaq Bid gets stuck at 42.99. SIP users no longer see NBBO eligible Nq Quote until 13:50|
|11:30:34||11:54:20||~ 20 minutes||Nasdaq Ask is non-firm (not eligible to set NBBO)|
|11:50:06||Nasdaq Ask gets stuck at 38.01 -- stops updating when other exchange quotes move higher|
|11:54:17||13:50||~ 2 hours||Nasdaq Ask remains stuck at 38.01, and stops updating until 13:50 (Other exchange quote prices moved higher)|
|13:50:01||13:50:03||3 seconds||Approx 37,000 quotes and 22,000 trades are blasted over 3 seconds from all reporting exchanges, causing several full second outages.|
And it was one quote cancellation sneaking into a five-millisecond window that caused about 20 painful minutes, watched live by the world on CNBC television, of the delay to the opening of Facebook’s initial public offering on Nasdaq’s US market.
In brief, the problem was that the system took two extra milliseconds to calculate the opening price. Because of a decision before to allow continuous order placement during IPOs, cancellations kept “fitting in between the raindrops”, in the words of Bob Greifeld, Nasdaq’s chief executive, in the five milliseconds it was taking to determine a price.Only High Frequency Traders (HFTs) can cancel quotes at that rate. And ironic enough, it was mostly HFTs that benefited later when Nasdaq quotes stopped coming from the Securties Information Processor (SIP) which transmits quotes for everyone who doesn't get the premium direct feeds. The nearly 2 hour outage, from 11:54 ro 13:50 can be seen in Charts 9 and 10 below. Those who are co-located and get the direct feeds, namely HFTs, didn't experience this problem, as trades continued to come from Nasdaq.