The Quote Blasts That Killed The NASDARK Caught On Tape

With AAPL plunging below the critical $500 level and equity markets slumping this morning, it seems appropriate to reflect once again on the cause of last week's NASDARK debacle. As Nanex so obviously points out in these charts, digging into market data before the Nasdaq blackout at 12:20 EDT on August 22, 2013, we came across several significant periods of extremely high quote volumes. By plotting the number of messages for each of the 6 multicast lines used by the Tape C SIP (Securities Information Processor), we discovered the quote blasts map directly to individual multicast lines. The 'line' carrying AAPL's ticker saw the largest and most egregious quote volumes (spamming perhaps) that eventualy ovehwlemed NASDARK's creeking infrastructure.

The SIP sends quotes for all Nasdaq listed symbols over 6 multicast lines: each line carries a subset of stocks grouped by symbol (for example, multicast line #1 carries symbols between "A" and "CDZZZZ") as shown in the following table:
 

Multicast LineSymbol StartSymbol End
1ACDZZZZ
2CEFDZZZZ
3FELKZZZZ
4LLPBZZZZ
5PCSPZZZZ
6SQZZZZZZ

The first chart below plots the number of messages for each multicast line between 10:50 and 12:10 EDT. Note there are several message surges: each of which is confined to an individual multicast lines (single color). The surge on line #6 at 10:55 (red line) is from zeroed bids and asks from ARCA (this is detailed in another chart below). The 3 surges at 11:48 (blue), 11:50 (red) and 11:54 (green) are actually from a resending of the previous 50 minutes worth of quotes as if they were new quotes. Each quote had a new timestamp and marked as if it were real-time - which caused these quotes to update the NBBO!

Tape C (1050ET to 1210ET)

 

Tape C Zoomed 1145ET to 1204ET - each surge is a resending of the last hours worth of quotes!

 

Tape C 1053 to 1101ET - Red lines are the surge from NYSE Arca quotes...

 

 

and there is simply no reason whythis cannot happen any and every day once again...

 

Charts: Nanex