Nanex Research
Nanex ~ 26-Sep-2012 ~ UNG Rockets Without Locking
On September 26, 2012 at 10:04:12, the symbol UNG suddenly rocketed almost 3% higher
in about 200 milliseconds (the blink of an eye). What is amazing about this move, is
that the NBBO never locked (where best bid equals best ask) or crossed (where best bid
is greater than best ask), not once. Even more amazing, we couldn't detect any
fantaseconds (where trades print ahead of quotes)!
We think
the exchanges may finally be
playing by the rules and using the SIP (consolidated
quote)
for order routing and trade through price protection.
1. UNG 1 second interval chart showing trades color coded by exchange and NBBO (gray shading).
2. UNG 1 second interval chart showing NBBO (gray shading).
Note that the NBBO is never locked or crossed or it would be colored yellow or red respectively.
This is extremely rare, especially with the explosive, sudden move.
3. UNG 25 millisecond interval chart showing trades color coded by exchange and NBBO (gray shading).
4. UNG 25 millisecond interval chart showing quotes color coded by exchange and NBBO (gray shading).
Note that the NBBO is never locked or crossed or it would be colored yellow or red respectively.
This is extremely rare, especially with the explosive, sudden move.
5. UNG 25 millisecond interval chart showing quotes color coded by exchange and NBBO (gray shading).
6. UNG 1 millisecond interval chart showing trades color coded by exchange and NBBO (gray shading).
7. UNG 1 millisecond interval chart showing trades and quote spread for EDGE-X
Note that
Edge-X trades are somewhat delayed. The
SEC says this is a violation of Reg NMS.
8. UNG Nanex Tick Chart.
9. BOIL 1 millisecond interval chart showing trades color coded by exchange and NBBO (gray shading).
Note: layering might
be occurring
in the right half of the chart.
Nanex Research
Inquiries: pr@nanex.net