Nanex ~ 22-Aug-2013 ~ Partial Blackout
When quotes stopped just before 12:05 EDT - trades continued for at least another 15
minutes in lit markets, and for much longer in dark pools. A curious thing about the
dark pool trade reports. There were two bands of prices - one band at the last known
NBBO, and another band at the last reported trade. How is it possible for trades to occur when quotes stop? How does trade through price protection (ensuring investors
get the best price) work when the NBBO stops updating? How can anyone prove they received
the best price?
1. AAPL - Trades color coded by reporting exchange.
Note the two lines of green squares: these are trades reported by dark pools and
internalizers (retail trades). The lower line aligns with the last known NBBO, while
the upper line aligns with the last trade report price.
2. AAPL - Showing the NBBO colored dark gray for normal (bid < ask), yellow
for locked (bid = ask) or red for crossed (bid > ask).
Quotes stop just before 12:05, but trades continue (chart 1) for 15 minutes on lit markets,
and for much longer in dark pools.
3. AAPL - Bids and Asks color coded by exchange.
4. AAPL - Best Bids and Asks color coded by exchange.
Inquiries: email@example.com volatility