Nanex - Flash Crash Analysis

Strange Days - 20100716

On July 16'th 2010 we observed a very large pre-market spike in bandwidth usage and HFT monitoring systems.

As an example of the bandwidth used, we will take a 1 second slice from this at 8:01:32.

At 08:01:32 there were 46,976 quotes for NASDAQ stocks and 34,907 quotes for NYSE/AMEX/PACF stocks.
CQS traffic was a minimum 16.2 mbps for that second.
UQDF Bandwidth recommendation is 56mbps (Nasdaq quotes) .
UQDF quote size is 50 bytes / short quote (not including any protocol overhead) .
UQDF hit a minimum of 18.8 mbps bytes for that second.

Tables 1 and 2:

Table 3:
The following table represents the quote rates seen from 08:01:18 through 08:01:59:

               UQDF                        CQS
Time    |#Sym|Quotes| Bytes   |mbps|#Sym |Quotes| Bytes   |mbps
08.01.18|  23| 2,183|  109,150| 0.8|   27| 1,545|   89,610| 0.7
08.01.19|  57|49,467|2,473,350|19.7|  150|42,620|2,471,960|19.7
08.01.20|  41|49,796|2,489,800|19.9|  149|37,009|2,146,522|17.1
08.01.21|  40|45,868|2,293,400|18.3|  115|36,075|2,092,350|16.7
08.01.22|  43|50,968|2,548,400|20.3|  139|36,991|2,145,478|17.1
08.01.23|  39|50,361|2,518,050|20.1|   91|38,067|2,207,886|17.6
08.01.24|  47|52,812|2,640,600|21.1|  129|35,949|2,085,042|16.6
08.01.25|  45|51,677|2,583,850|20.6|  145|31,646|1,835,468|14.6
08.01.26| 169|51,008|2,550,400|20.4|  416|33,255|1,928,790|15.4
08.01.27| 121|58,448|2,922,400|23.3|  306|34,070|1,976,060|15.8
08.01.28|  89|51,422|2,571,100|20.5|  293|35,885|2,081,330|16.6
08.01.29| 114|49,168|2,458,400|19.6|  272|35,591|2,064,278|16.5
08.01.30|  98|52,417|2,620,850|20.9|  259|41,745|2,421,210|19.3
08.01.31|  88|51,038|2,551,900|20.4|  270|37,501|2,175,058|17.4
08.01.32| 101|47,165|2,358,250|18.8|  247|35,052|2,033,016|16.2
08.01.33|  89|52,430|2,621,500|20.9|  256|36,706|2,128,948|17.0
08.01.34|  47|52,127|2,606,350|20.8|  183|37,979|2,202,782|17.6
08.01.35|  38|46,151|2,307,550|18.4|  187|33,926|1,967,708|15.7
08.01.36|  30|49,952|2,497,600|19.9|  141|34,759|2,016,022|16.1
08.01.37|  36|52,282|2,614,100|20.9|  144|32,044|1,858,552|14.8
08.01.38|  36|48,909|2,445,450|19.5|  116|33,012|1,914,696|15.3
08.01.39|  37|48,671|2,433,550|19.4|  144|33,704|1,954,832|15.6
08.01.40|  31|50,932|2,546,600|20.3|  121|34,152|1,980,816|15.8
08.01.41|  27|47,060|2,353,000|18.8|   85|33,061|1,917,538|15.3
08.01.42|  35|47,572|2,378,600|19.0|  177|38,092|2,209,336|17.6
08.01.43|  41|48,151|2,407,550|19.2|  138|34,715|2,013,470|16.1
08.01.44|  41|45,654|2,282,700|18.2|  119|32,272|1,871,776|14.9
08.01.45|  36|50,017|2,500,850|20.0|  149|35,834|2,078,372|16.6
08.01.46|  29|49,132|2,456,600|19.6|   99|36,440|2,113,520|16.9
08.01.47|  38|46,938|2,346,900|18.7|  181|38,084|2,208,872|17.6
08.01.48|  32|50,447|2,522,350|20.1|  139|31,689|1,837,962|14.7
08.01.49|  45|47,793|2,389,650|19.1|  148|31,722|1,839,876|14.7
08.01.50|  38|46,856|2,342,800|18.7|  102|32,616|1,891,728|15.1
08.01.51|  32|47,421|2,371,050|18.9|   93|32,256|1,870,848|14.9
08.01.52|  37|47,316|2,365,800|18.9|  150|29,883|1,733,214|13.8
08.01.53|  29|50,226|2,511,300|20.0|   93|29,538|1,713,204|13.7
08.01.54|  40|49,776|2,488,800|19.9|  105|30,445|1,765,810|14.1
08.01.55|  46|48,775|2,438,750|19.5|  132|33,029|1,915,682|15.3
08.01.56|  36|49,094|2,454,700|19.6|   99|30,281|1,756,298|14.0
08.01.57|  34|46,949|2,347,450|18.7|   97|31,539|1,829,262|14.6
08.01.58|  26|49,841|2,492,050|19.9|   78|29,999|1,739,942|13.9
08.01.59|  49|42,106|2,105,300|16.8|  208|24,616|1,427,728|11.4

Chart 1 - Quote Traffic, Mbps:

Chart 2 - Quote Traffic, Percent Capacity:

Chart 3 - Spike in pre-market bandwidth.

Chart 4 - Spike in HFT Monitoring System.

Chart 5 - Stock Symbol WYN. Over 84,000 quotes in just under 20 seconds. Note the BBO bid followed the NSDQ bid tick for tick.
This same pattern was seen in the majority of stocks burst during this time.

Chart 6 - Stock Symbol WYN. Over 84,000 quotes in just under 20 seconds. Note the EXACT same sequence and pricing as WYN shown above.

Inquiries: pr@nanex.net

Publication Date: July 08, 2010
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