On 9/19/08 I had an order working to sell IYF, an ETF listed on ARCA, on the ARCA open. I received a fill of 94. This was 34.9% higher than the previous close 69.66. An extraordinary move, but 9/19 was an extraordinary day marked with numerous dramatic opens. Many stocks including ETFs had equally large moves on the open. MS, a component of IYF, opened up 42%, many other components of IYF such as BAC and GS opened up 25% or more. 94, up 34.9%, even if a little high, seemed reasonable. At about 7:50 pm ARCA busted the opening trades on IYF and several other ARCA stocks. Prior to this I received no notification that my trade might be busted. My broker claimed they did not learn of any problem until ARCA busted the trades. When I called the ARCA trade department I was told that it was a volatile day and there were many execution problems that morning. The ARCA rep said that ARCA was not the only exchange with execution problems and that they had emailed brokers warning that some trades were being questioned. The ARCA rep would not tell me exactly why the IYF open had been busted but I believe I can guess. In order to execute the eligible sell orders, the ARCA opening cross algorithm had to move up the ask list until it reached a price that would execute all the sells. Since the ARCA open is completely automated and liquidity thin a significantly higher price was reached than would be if the cross had been carried out on the NYSE. On the NYSE as the price rose, additional new liquidity would have been sought from the outside keeping the price reasonable. This raises several issues: 1) ARCA executions are not reliable and it is not always obvious when a trade will be busted. EWS, also an ARCA ETF, opened up 35.5% and was not busted. 2) ARCA does not address potential busts in a timely manner. Busting trades after market close is not timely. Sending emails to brokers that trades might be busted is usually of little value. First, your broker is unlikely to have a mechanism to broadcast this to customers. Second, it will not always be clear whether the trade will be busted. Third, even if you know that a trade might be busted and want to take action assuming it will be busted, it might not be possible to take action. In my case it would have required borrowing enough IYF to close my position, which might not be possible. 3) The ARCA rep claimed all exchanges had problems on 9/19. This is true, but in proportion to their listings ARCA had substantially more. By my count of the approximately 4000 most liquid issues I follow, of the opening crosses 1/249 AMEX, 4/1687 Nasdaq, 17/1878 NYSE, and 17/188 ARCA were busted. The opening crosses in a full 9% of the ARCA listings were busted. 4) How can you trade on an exchange where the executions cannot be trusted, especially when the busted execution was not due to a systems error such as a software bug? My quote service provides every quote and trade. Extreme ARCA executions are much more common than for any other exchange, even the Nasdaqâs fully automated system. 5) A busted trade is an opportunity lost. I wanted to sell IYF on the open and would happily have accepted a price exactly in line with the underlying stocks. That opportunity was denied me. My exit was at a price substantially lower than what that price would have been. Until this happened to me I just sort of ignored ARCAâs flaky executions. Now I more fully appreciate the value of trading at a reliable exchange.