Category Archives: Finance

Stale market data occurred yesterday on the Nasdaq, according to TheTradeNews.com:

As a result of the error, market data for many Nasdaq-listed stocks did not refresh for around 15 minutes, rendering some consolidated tape data unreliable. The issue was resolved at around 13.53 EST, according to a Nasdaq OMX statement.

TheTradeNews.com reports that the rollout of new circuit breakers could be delayed to allow firms longer to implement them.

The new limit up-limit down (LULD) and market-wide circuit breakers are scheduled for introduction on 4 February but could be delayed until 6 April, pending approval by the Securities and Exchange Commission (SEC). Testing for the enhanced circuit breakers is expected to commence on 26 January.

Here’s how it’s supposed to work:

Under the current proposals, if the national best offer of a stock equals the lower price band, or if the national best bid of a stock equals the upper price band, trading in that stock will enter a ‘limit state’.

In a limit state, trades at the upper or lower limit must be adjusted or cancelled within 15 seconds to prevent a pause to trading of that stock. The length of a pause will depend on the liquidity characteristics of the stock in question, currently five minutes for S&P 500 and Russell 1000 constituents and at 10 minutes for most other securities.

Trades that are entered outside of the price band set for a stock will be rejected or adjusted to an appropriate price, at the discretion of the broker entering the trade.

Two dark pools are in the news:

The two cases differ decidedly, according to industry pros. In the Pipeline case, the settlement was based on fraud and resulted in direct charges against individuals. Pipeline failed to disclose that more than 97 percent of orders in its dark pool at times were filled by a trading operation affiliated with the firm.

LeveL ATS is rebounding as 2012 comes to a close. It says clients are returning since its parent firm, eBX LLC, paid an $800,000 fine and settled charges that LeveL failed to properly safeguard information on customers’ unexecuted orders, which were stored and allegedly reused in a smart order router.

In the same article, news on brokers who are analysing the profile of those trading in their dark pools, e.g. The Light Pool by Credit Suisse:

The alternative system classifies users by how they trade. The venue categorizes participants, helping mutual funds, hedge funds, pensions and endowments trade only with parties they are comfortable with.

Knight Capital’s fall from grace was well publicised after a software glitch cost them $440 million. Now there’s talk of a takeover.