Nanex ~ 25-Jul-2013 ~ Facebook Time-warp
On July 25, 2013 at about 11:06:38, trading in Facebook entered a time-warp. Or exchange
networks overloaded. The charts below tell that story and more:
1. FB - Trades color coded by reporting exchange and NBBO (dark gray shade).
Note the late trade reports from EDGX and Dark Pools. This is a sign of overload somewhere
in exchange networks.
2. FB - Zooming out showing trades color coded by reporting exchange.
Note the sea of green from Dark Pool Trades, where 33% of trades and 45% of Facebook
shares were executed in the 17 minute time-frame shown below.
3. FB - Same as chart 2 but removing Dark Pool trades so you can see the participation
from the lit exchanges.
4. FB - Best bids and asks color coded by reporting exchange.
Dark Pools don't quote - they base their trades off the "public quote" - which is what
you see in this chart.
5. FB - All bids and asks from all reporting exchanges.
The lowest priced ask
and the highest priced bid at every point in time becomes the best ask and best
6. FB - Zooming in on Chart 1 showing about 2 seconds of time.
Clearly, trades from one exchange are getting delayed somewhere.
7. FB - Showing only EDGX trades (red diamonds) and quote spread (blue shading).
The red diamonds (trades) should be inside the blue shading (quotes). A clear indication
some people are getting information before the public.