October 6, 2012

Algos, Facebook IPO and NASDAQ’s 17 Billion Nanoseconds

Algos, Facebook IPO and NASDAQ’s 17 billion nanoseconds.
Algos decide when to provide liquidity and when to take it away.

17 billion nanoseconds is an eternity in the life of an algo.

Nanex’s Erik Hunsader at ZeroHedge 
On the Facebook IPO day, NASDAQ was trying to open the IPO up. By their third attempt, they’re telling everybody "Wait, we’ll get it at 11:05. No, we’ll get it at 11:10. No we’ll get it at 11:30". So it was do-or-die time, 11:29:50 comes around. Somebody there has the bright idea to just reboot the system. It takes NASDAQ offline a full seventeen seconds. Nothing coming out of NASDAQ. Not a peep in any stock, market wide, for seventeen seconds. When NASDAQ finally did reappear -- what happened? The orders that were resting in the book all that time immediately disappeared. Like 60%-70% of all liquidity within 200 milliseconds was gone: SPY, Microsoft, Apple. Not just Facebook -- it was every stock.

Tags: facebook ipo nasdaq, nasdaq 17 billion nanoseconds, algo eternity