Nanex Research

Nanex ~ 14-Feb-2014 ~ Dark Pool Trades Go Dark

Caused by a Trade Reporting Facility Failure

On February14, 2014, starting at 9:50:02 and continuing for about 10 seconds, a blast of 314,688 late trade reports in NYSE, NY-Arca, and NY-Mkt Listed stocks hit the tape from Dark Pools (Nasdaq Trade Reporting Facility).

It was later determined that there must have been an outage at the trade reporting facility, because all Dark Pool trades reported there since market open where queued and sent in a burst at 9:50:02.

In other words, about 40% of all trades in NYSE, NY-Arca, and NY-Mkt listed stocks during the first 20 minutes of trading were not reported until 9:50:02.

1. AIG Trades color coded by reporting exchange.
Image alternates between showing trades from only Nasdaq TRF (dark pool trades - green squares), and all trades. Note that there are no green squares until 9:50:02. This indicates an outage at the trade reporting facility and not from dark pools (they wouldn't all fail at once).

2. AIG - Zoomed to show the 9:50:02 blast.
Note the pattern of trades in this zoomed in view matches the pattern of trading from other exchanges since the open shown in chart 1 above. This means the blast was from 20 minutes worth of dark pools trades since the open, emptying over 10 seconds.

3. Price change for each NMS Stock between 9:49 and 9:50:45.
Each line is 1 stock. The tick volume panel (bottom) is color coded by reporting exchange - green is Nasdaq's TRF - where dark pool trades print. Note how these late trades caused many stocks to appear to have wide price changes, some showing swings of more than 5%.

4. Trades Per Second for each trading day between January 2013 and February 14, 2014 (red line).
This chart shows the enormity of the trade dump.

Nanex Research