BATS looks to compensate after long-term system error

BATS Global Markets has identified a software bug that has caused almost 450,000 trades to be executed at the wrong price over a period of 5 years, according to thetradenews.com:

The exchange group found that some short-sale orders were executed at a price that is equal to or less than the national best bid or offer, while non-displayed pegged orders may not have been executed at the most optimal price.

Under the SEC’s Reg NMS rules, trades must be routed to the market displaying the best price. As per short-selling rules, if a stock declines by 10% from the previous day’s close, traders can only sell short at a price one tick above the national best bid or offer until the end of the next trading day.

This sounds like an oversight in their understanding of the complex market rules rather than a bug – it wasn’t that the software was implemented correctly, this rule wasn’t implemented at all!

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Filed under Finance, Programming

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