From 1235ET to 1255ET today, the SIP (the data feed that the general public relies on for its trade reporting) went dark for a number of symbols (including SPY - the massively liquid S&P 500 ETF). Luckily - for the High Frequency Traders - the Direct Feed kept on getting data and as the detailed charts from Nanex below [5] show, the machines and their keepers continued to trade with asymmetric information... un-rigged?
Via Nanex, [5]
Another case of Direct Feeds getting data while SIP customers do not. For 20 minutes!
1. SPY - Nasdaq Quote Spread.
Note the gap from 12:35 to 12:55.
2. SPY Nasdaq Trades.
No gap in trades.
3. SPY - Nasdaq Quote Spread and NBBO (Red shading shows where NBBO was crossed).
4. SPY - Trades from all Exchanges.
5. DIA - Quotes from all Exchanges.
Note the gap from 12:54 to 13:07.
6. DIA - Trades from all Exchanges.
Trades not affected (direct feeds were functioning normal).
On a side note.. this is what The Bloomberg Headlines Feed has looked like for the last 8 minutes...
[6]
Shit is broke...