Nanex 22-Apr-2014 ~ NBBO Misfiring
1. In symbol TNA on March
3, 2014, the breakdown by exchange of
For 18% of the total time,
Chicago (Chic - bottom bars) was the NBBO, but that exchange
captured less than 1% of lit market trades. Compare that to NY-ARCA (ARCA) which
was the NBBO quote
about 4.3% of the time but captured 15% of the trades.
- Percent of Lit Market Trades (blue)
- Percent of Time at NBBO (red)
2. Dividing the % of Time each exchange is at the NBBO by the % of trades executed
at that exchange reveals the top exchanges missing out on trade executions.
Chicago clearly stands out.