Nanex Research

Nanex ~ 17-Jan-2013 ~ Locking Intel

On January 17, 2013 at 15:56:18, the price of Intel's stock (symbol INTC) exploded into action. INTC often trades within a 1 cent range for 10 seconds or longer, but a suspected leak of earnings news drove prices into freakish frenzy (for INTC), with prices oscillating 20 to 60 times their normal range. But we found something even more interesting: at 15:54:45, about a minute before the trading frenzy, INTC's quote locked for almost 7.5 seconds, an eternity for this symbol. A locked market is a term describing a condition where the best bid from one exchange equals the best ask from another exchange. High frequency traders often complain about this condition because it is prohibited by Reg NMS. Prohibited indeed.

1. INTC - Showing NBBO which is shaded Gray if normal (Best Bid < Best Ask), Yellow if Locked (Best Bid = Best Ask) or Red if Crossed (Best Bid > Best Ask).

2. INTC - Showing trades color coded by exchange.

3. INTC - Showing Best Bids and Asks color coded by Exchange. Nasdaq's ask price (light gray) equals BAT's bid price , and therefore locks the market.
Time period on chart spans from 15:54:44 to 15:54:55.

4. INTC - Showing BAT's quote spread and trades.

5. INTC - Showing Nasdaq's quote spread and trades.

6. INTC - Combining charts 5 and 6 from above - Showing quote spread and trades for BATS and Nasdaq.

7. INTC - Showing bids and asks from all exchanges.

8. INTC - Showing trades from all exchanges.

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