Crossed Market¶
A crossed market occurs when the highest bid price for a security exceeds the lowest ask price across all exchanges in the national market system. Under normal conditions, the best bid sits below the best ask; in a crossed market, that relationship inverts. The condition creates a theoretical arbitrage opportunity — buy at the lower ask, sell at the higher bid — but resolves within milliseconds under Regulation NMS.
HOW IT WORKS¶
The NBBO (National Best Bid and Offer) is calculated in real time by aggregating the highest bid and lowest ask across all U.S. exchange venues via the consolidated tape. A crossed market exists when the NBBO bid is greater than or equal to the NBBO ask. Exchange surveillance systems detect the condition automatically, and Regulation NMS requires orders to route to the best-priced venue, forcing rapid re-quoting. Crossed markets most often appear during high-volatility events, around the open and close, after major news releases, or when a market maker's quotes go stale. A persistent crossed market typically signals a data feed error rather than a genuine arbitrage opportunity. Crossed markets differ from locked markets, where the bid equals the ask rather than exceeding it.
IN TAPEBOARD¶
Tapeboard flags crossed NBBO conditions on the quote strip in real time, highlighting the affected symbol with a crossed-market indicator so you can distinguish a data anomaly from a genuine price move. The order book view marks the specific exchange legs contributing to the cross, letting you trace whether the condition originates from a single venue or spans multiple exchanges. Because crossed markets resolve in milliseconds, Tapeboard logs the duration and frequency of crosses for a symbol during the session, which is useful for identifying periods of quote instability or feed degradation rather than acting on the cross itself.