Nanex Research

Nanex ~ 28-Jan-2014 ~ It's About Time

There was something different about the market opening on January 27, 2014 - other than a new yearly high number of mini flash crashes. We detected an unusual number of Form-T trades from NY-Arca and Nasdaq with time-stamps almost a full second after 9:30:00.

The condition code "Form-T" is used to mark trades that were executed outside of regular market hours (before 9:30 and after 16:00). Normally, the last Form-T trade that appears before market open will have a time-stamp before 9:30:00.000: it is rare to see Form-T trades with time-stamps more than 100 milliseconds later. This was not true on January 27, 2014 when Form-T trades continued to print with time-stamps almost a full second after 9:30. These late Form-T trades only appeared from 2 of the 14 exchanges: NY-ARCA and Nasdaq. We believe it was these trades (or the condition that caused them) that were behind the wide price swings which appeared in at least 264 stocks during the first second after 9:30 (see detailed examples here).

Link to pdf of 264 symbols that had price changes of at least 1% and at least $0.50 during the first second of trading.

Charts below show trades from ALL NMS Stocks (NYSE, NY-Arca, NY-Mkt, and Nasdaq listed stocks). Price scale is relative change since market open.

1. Form-T trades from NY-Arca (red) and Nasdaq (gray). Chart shows 5 seconds, from 9:29:59 to 9:30:04.
There should be no dots after 9:30!

2. Form-T Trades from All Exchanges except NY-Arca and Nasdaq.
Form-T trades from other exchanges abruptly stop at 9:30. This is how the chart above should look. The stray green dots are probably late dark pool trades.

3. Regular Session Trades from from NY-Arca (red) and Nasdaq (gray).exchanges.
Note there are regular trades mixed in with the late Form-T trades from these two exchanges.

4. Regular Session Trades from all exchanges.

5. All Trades from All Exchanges.

Nanex Research