Nanex ~ 22-May-2012 ~ Nasdaq Radio Silence
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.
The last Nasdaq quote/trade message from the SIP (Security Information Processor)
was timestamped 11:29:52.506, the next Nasdaq quote/trade message from the SIP is 11:30:09.206.
There were no indications that quotes were about to stop, such as messages tagged market
maker closing, or non-firm quotes, or even a withdrawal of quote prices away from the
market. In fact many stocks that had price changes during this 17 seconds of silence
ended up with locked or crossed quotes with the old stale Nasdaq quote. Some examples:
SPY, AAPL, GLD, DXD, FXE, EWQ.
When Nasdaq quotes from the SIP resumed, they appeared abruptly, though there were indications
(anecdotal mostly) of quote refreshes taking place. There is some evidence, though not
conclusive, that trades during the outage were lost, though they may have been sent
The charts below show traffic rates for quotes and trades by reporting exchange for
all listed stocks in the U.S. carried on the SIPs (Security Information Processors)
CQS, CTA, UQDF and UTDF. CQS carries quote traffic and CTA carries trade reports
for NYSE, AMEX, and ARCA listed stocks. UQDF carries quote traffic and UTDF carries
trade reports for all Nasdaq listed stocks. Facebook (and Apple) quotes would have been
carried on UQDF, and trades on UTDF.
Chart 1. CQS (100 ms) showing quote rate from reporting exchange Nasdaq only.
Note how often Nasdaq sends 100,000 quotes per second. Going to zero for even 1 second
during trading hours would indicate a problem.
Chart 2. UQDF (100 ms) showing quote rate from reporting exchange Nasdaq only.
Chart 3. CQS (100 ms) showing quote rate from all reporting exchanges.
Chart 4. UQDF (100 ms) showing quote rate from all reporting exchanges.
Chart 5. CQS (25 ms) showing quote rate from reporting exchange Nasdaq only. (Zoom of Chart 1)
Chart 6. UQDF (25 ms) showing quote rate from reporting exchange Nasdaq only. (Zoom of Chart 2)
Chart 7. CTA (100 ms) showing trade rate from reporting exchange Nasdaq only.
Chart 8. UTDF (100 ms) showing trade rate from reporting exchange Nasdaq only.
Chart 9. SSDL (30 second) showing best bids and asks color coded by exchange.
Ignore the crazy quoting, and just pay attention to the pattern (zoom of outage period
in chart below). You can see the outage on Nasdaq caused a pattern change in quotes from other exchanges. This could just be coincidence, but we thought it was interesting enough to show.
Chart 10. SSDL (1 second) Zoom of chart above.
Note the pattern change when Nasdaq's quote goes silent for 17 seconds.