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Analysis of the "Flash Crash"
Date of Event: 20100506
Part 2, Previous Occurrences

If the quotes sent from the NYSE were stuck in a queue for transmission only to be time stamped when exiting the queue, then all data inconsistencies disappear and things make sense. In fact, this very situation occurred on 2 separate occasions at October 30, 2009, and again on January 28, 2010 as shown below.

Charting the bid/ask cross counts for those two days reveals the same pattern as 5/6! Looking at the details of the trade and quote data on those days shows the same time stamp/price inconsistencies. The NYSE stated that during the same intervals, they were experiencing delays in disseminating their quotes!

In summary, quotes from NYSE began to queue, but because they were time stamped after exiting the queue, the delay was undetectable to systems processing those quotes. The delay was small enough to cause the NYSE bid to be just slightly higher than the lowest offer price from competing exchanges. This caused sell order flow to route to NYSE -- thus removing any buying power that existed on other exchanges. When these sell orders arrived at NYSE, the actual bid price was lower because new lower quotes were still waiting to exit a queue for dissemination.


Chart 1-a:
Total Number of NYSE listed stocks where the Exchange's Ask price is below the Best bid price.



05/06/2010


01/28/2010


10/30/2009




Chart 1-b:
Total number of NYSE listed stocks where the Exchange's Bid price is above the Best Ask price.


05/06/2010


01/28/2010


10/30/2009



Supporting Data:

20100506.EQX_NYSE.txt
20100128.EQX_NYSE.txt
20091030.EQX_NYSE.txt



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Publication Date: June 18, 2010
http://www.nanex.net



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