41 Pages Posted: 29 Oct 2004 Last revised: 3 Nov 2011
Date Written: November 3, 2011
The NBBO for an average active stock is non-positive (locked or crossed) 10.58% and 4.05% of the time on, respectively, the NASDAQ and the NYSE inter-markets. Locks and crosses are frequent fleeting events that usually accompany significant price changes. Non-positive NBBOs arise because of (i) simultaneous and (ii) tardy quote updates, (iii) electronically unreachable quotes, (iv) reluctance to trade against autoquotes, (v) order transit considerations, and (vi) ECN liquidity attraction efforts. Most locks and crosses result from competitive trading practices in contemporary fragmented markets.
Keywords: Locked, Crossed, Multi-market trading
Suggested Citation: Suggested Citation
Shkilko, Andriy and Van Ness, Bonnie F. and Van Ness, Robert A., Locked and Crossed Markets on Nasdaq and the Nyse (November 3, 2011). Journal of Financial Markets, 2008. Available at SSRN: https://ssrn.com/abstract=610584