Nanex Research

Nanex ~ 06-Aug-2013 ~ BATS Orderly Shutdown

We hope other exchanges take notice of how this is done. When BATS went offline, they first zeroed all existing quotes in all stocks so that the NBBO doesn't end up crossed or locked from a stale quote.

1. The percentage of quote updates at the NBBO in all NMS stocks skyrocketed when BATS was offline.

2. Quote Spam plummeted while BATS was offline.
This is the number of quotes for every $10,000 worth of trades for all NMS stocks. It's similar to a quote/trade ratio, but takes price and order size into account (it's a better measure over time).

3. BATS returns online with a bang at 14:00:05.

4. All NMS Stocks - quotes from BATS.
The 4 pink spikes are from BATS spinning through and zeroing their quotes for all stocks alphabetically in 4 groups spaced 1 second apart.

5. Zoom of chart 1.

6. Trades and quote spread in SPY from BATS and CBOE (for reference).

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