Nanex ~ 31-Oct-2012 ~ Tardy Trade Reports
As more and more shares are executed on alternative trading facilities (dark pools),
the ability of investors to analyze stock price data deteriorates. Mostly because alternative
trading facilities are allowed a 90 second grace period to report a trade execution.
90 seconds! We think it's time for this grace period to get with the times and
be reduced to 9 milliseconds (or less). Price discovery requires recent prices. The more recent the data, the more accurate the analysis. Take a look at this sloppy, late
reporting in Apple Computer Corp (AAPL) in the charts below.
1. AAPL 100 millisecond interval showing trades color coded by exchange.
Green squares are from Alternative Trading Facilities. You can clearly see that these
trades were reported 5 to 25 seconds late.
2. AAPL 50 millisecond interval showing trades color coded by exchange.
Zoom of Chart 1.
3. LLY 25 millisecond interval showing trades color coded by exchange.
You can clearly see that trades from Alternative Trading Facility (green squares) lag
behind when trading is active.