Analysis of the "Flash Crash"
Date of Event: 20100506
Part 3, The Evidence
|If you have not yet done so, please become familiar with Part 2-1 and
Part 2-2. Understanding the past
occurrences and the data presented will help you better understand the charts
and data shown here.
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.
The small delay was enough to cause the runaway drop that started at approx. 14:42 - 14:43 on 05/06/2010. The following charts clearly show this delay in several key bellwether stocks:
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