Nanex Research

Nanex ~ 03-Jan-2013 ~ Ultimate Dark Pool Trading

Also Known As 15 Minutes Of Silence

On January 3, 2013, trades disappeared in all Nasdaq listed stocks from all reporting exchanges at 13:36:55 and began reappearing from some exchanges at 13:51:14. Quotes disappeared at 13:37:24 and returned at 13:48:19. About 1 minute before trades disappear in Nasdaq listed stocks, trades from EDGE and EDGX in ALL NMS stocks (Nasdaq listed plus NYSE/AMEX/ARCA listed) start printing in bursts followed by 20-30 second gaps.

Note that the outage in Nasdaq stocks occurred just minutes before an important, market-moving, FOMC minutes news release (14:00).

See also:

The first set of images show 1-millisecond peak network traffic for each of the 12 multicast lines that carry quotes (UQDF, 6 lines) and trades (UTDF, 6 lines) for Nasdaq Listed stocks (Tape C).

Note how lines 2, 4 and 6 experience an outage beginning at 13:33:11, whereas the outage for lines 1, 3, and 5 begins almost 4 seconds later at 13:37:25. Also note the huge spikes after the outage ends - more than 3 times the peak at 14:00, when the FOMC minutes were released.

On Monday, January 7, 2013, Nasdaq released a Vendor Alert explaining this issue.


Another view of UQDF lines.

The next set of charts details trades from EDGE,  EDGX, and all reporting exchanges in all NMS stocks. The x-axis is time of day (Eastern), the y-axis is price. The row of dots around the price of 144 are from SPY which trades at that level.
The next set of images allows us to see the impact on each reporting exchange. We can see that some exchanges disappeared earlier than others, and one (EDGE) never came back (in the time frame shown). Also, we can see from Chart 10 (Nq TRF) that dark pool trading may have ceased during the outage (there is no blast accompanying its return from darkness).

Note when each exchange disappears, when it reappears, and if it reappears with a spike in volume (lower panel).

More images showing details at the start and end of the event in Nasdaq stocks.

Nanex Research