Nanex ~ 16-Sep-2013 ~ Explosive Trading in CSCO Exposes Feed Delay
On September 16 at 9:56:55, and explosion of trading in Cisco (symbol: CSCO, market cap $130 Billion) sent prices down about 20 cents in less
than a second. A very
rare move in this stock. The move was so explosive that it caused trade reports from
2 exchanges (Edge and Edge-X) to disappear, then reappear suddenly, 2 seconds later.
This is an indication of a network failure somewhere between the exchange and input
to the SIP (securities information processor, or consolidated feed).
1. CSCO - Trades and quote spread for Edge (gold) and Edge-X (blue). Zooming
in to about 5 seconds of time.
Trades appear almost 2 seconds after quotes, and after trades from other exchanges.
Something got stuck.
2. CSCO - Trades color coded by exchange. Zooming out to about 30 seconds of
Note the blue and gold diamonds offset by about 2 seconds from the other trades..
3. CSCO - Trades color coded by exchange. Zoomed out to about 2 minutes of time.