At 10:45:26AM ET, a single matching engine handling symbol range A-BFZZZ encountered a software bug related to IPO auctions which rendered open customer orders in this symbol range inaccessible. BATS sent notice at 10:48:41AM ET that BATS was investigating system issues in trading of symbols in the range of A through BFZZZ. Additionally, the IPO auction for symbol BATS did not successfully print and trading of symbol BATS on the BZX Exchange system did not begin as expected.
BATS immediately requested all quotes in the affected range for BZX Exchange be removed from the consolidated tapes. Around 11AM ET, the BATS Trade Desk noticed BYX Exchange was continuing to witness crossed markets from stale quotes in UTP symbols on the BZX Exchange. BYX Exchange declared Self Help vs. BZX Exchange at 11:07:04am ET and again contacted UTP SIP to pull quoting for symbols in the affected range. BATS confirmed the UTP SIP successfully pulled BZX Exchange quotes at 11:27:01am ET. The stale BZX quotes seen in BYX were the cause of three clearly erroneous trades in AAPL which were cancelled between 11:49am and 12:34pm ET.
Regarding the initial print of BATS, BATS submitted the IPO auction print for the symbol BATS to the consolidated tape at 11:14:18am ET and also notified members of the opening print at a price of $15.25 with a size of 1,199,652 via email at 11:54am ET.
Prior to noon ET, BATS notified members that the system would be available for trading all symbols in the affected range except BATS at noon ET. Except for the symbol BATS, trading in the affected symbol range resumed at noon ET. At this time, BATS prepared for a possible re-opening of the BATS symbol using a halt auction and sent notice that further details related to BATS would be forthcoming. Once the root of the issue was identified as being related to certain Regular Hours Only (RHO) orders, an emergency patch was created to prevent the issue from occurring in a Halt auction. BATS communicated an emergency window to Members for an orderly shutdown of trading in the affected range of Matching Engine 1 (12:40-12:50PM ET). BATS cancelled all open orders in this symbol range prior to the orderly shutdown and during this period deployed the emergency patch. The shutdown and commencement of trading in this symbol range was orderly and occurred at the communicated timeframes.
Once all systems were operating normally, BATS planned to re-open the BATS symbol at 1:15:00 with a 5 minute quoting period. Prior to this time, BATS made a decision to hold on further trading of symbol BATS and communicated as such noting further updates would be provided. BATS ultimately made a decision not to reopen the symbol BATS. Once the decision was made, the original IPO print was torn down, individual executions were broken for the day, and notice was submitted to all affected parties.
FTSE Mondo Visione Exchanges Index:
BATS BZX Exchange Post-Mortem
Date 23/03/2012