Nanex Research

Nanex ~ 25-Jun-2012 ~ Nasdaq Total View Message Counts

In the Wall Street Journal article Nasdaq Cites 'Arrogance' in Facebook Flop, Nasdaq's CEO made the comment that Nasdaq was unprepared for increasing numbers of canceled orders in the hours leading up to Facebook's debut.

That is odd, because we counted the number of orders (adds and cancels) in Total View and they don't look unusually high. In fact, the rate of order messages before the open is dwarfed by the rate of messages after Facebook opened and began trading.

More on Facebook IPO.

One second message rates in TotalView for FaceBook on May 18, 2012.
+Buy: buy order added to book.
+Sell: sell order added to book.
-Buy: buy order cancelled (removed) from book.
-Sell: sell order cancelled (removed) from book.
*Buy: buy order executed.
*Sell: sell order executed.
eHid: Non-displayed order executed.

From 10:54 to 11:12.  Facebook failed to open at 11:00, 11:05, and again at 11:10.

From 11:11 to 11:29.

From 11:21 to 11:39. Facebook began trading at 11:30. Note how message traffic after 11:30 dwarfs traffic before that time.

The next 3 charts show 1 millisecond peak message rates. Note the odd and regular burst of  buy orders additions (black) and deletions (yellow) in the book on the minute, every minute! We are fairly confident the same trader or entity is updating buy order prices for the same 250 orders:  the pattern is 1) cancel existing orders 2) wait a few milliseconds and enter new orders with the same sizes as before but a new price. And the prices seem random -- between $55.05 and $78.26. Approximately 50,000 shares spread across 250 orders.

Also note how low the peak 1 millisecond rate is: about 100 total per millisecond. Hardly enough to cause any problems, or even mention. Certainly not enough to call a press release.

Peak 1 millisecond rate from 10:45 to 11:04. 

Peak 1 millisecond rate from 10:54 to 11:12.

From 11:11 to 11:29.

Nanex Research