Nanex Research
******* Not Published *******
Nanex ~ 13-Mar-2014 ~ Market Orders Aren't Fast Enough
Two examples showing a market order unable to access the displayed liquidity at lit
markets.
In the first example, the cumulative size at the ask price of 27.48 was 13,100 shares,
right before a 10K share market buy order hit. The
trade was filled at an average price of 27.486!
In the second example, the cumulative size at the ask price of 27.43 was 20,700 shares,
right before a 10K share market buy order hit. That trade was filled at an average price
of 27.436!
Charts showing where the 2 trades in the examples above were executed. There was little activity until the market
order showed up.
1. GDX Trades color coded by reporting exchange and NBBO gray shading.
2. Example 2.
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