Nanex ~ 10-Feb-2014 ~ Market Open Mystery
When Exactly Does the Stock Market Open?
There is a problem with timestamps and/or the marking of the Form-T (pre or post market
trade) condition that manifests
itself in the first second of trades reported from 2
exchanges: Nasdaq and NY-Arca. This is similar to what we found at market close, which
also involved the same 2 exchanges (see News Leaks at Market
Close, our study, which led to a pair of stories in the Wall Street Journal
by Scott Patterson).
The 3 charts below show 5 seconds of trading in FaceBook during market open on January
30, 2014 between 9:29:58 and 9:30:03. Each image alternates between trades marked with
Form-T (pre-market) and trades not marked Form-T (regular session, ISO, etc.). See this page
for more examples of this phenomenon.
Pre-Market trades from Nasdaq are showing up after 9:30..
The transition between pre-market and regular session
takes place about 1/2 second after 9:30. Note that a significant number of pre-market
trades appear after 9:30. There is
also an interesting 250 millisecond gap in Nasdaq trades before 9:30 - but we think
that is just coincidence. There should be no Form-T trades after 9:30.
..and trades from NY-Arca show a similar pattern..
The transition between pre-market
and regular session shows up in trades from NY-Arca almost a full second after 9:30. There should be no Form-T trades after 9:30.
..but trades from other exchanges show the transition at exactly 9:30.
The chart below shows
trades from the other 7 exchanges
- note that the transition between pre-market and regular session comes at exactly 9:30. Because of this expected
behavior in data from other exchanges, we can rule out a malfunction in the SIP aggregation
Update: More examples from Market open on February 7, 2014.
SPY - Trades from Nasdaq and Arca show pre-market trades printing after 9:30.
SPY - Trades from other exchanges show a clear cut-off at 9:30.
QQQ - Trades from Nasdaq and Arca show pre-market trades printing after 9:30.
QQQ - Trades from other exchanges show a clear cut-off at 9:30.