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May 6'th 2010 Flash Crash Analysis - Continuing Developments
PSA - 07-22-2010.

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Date: July 22, 2010
Symbol: PSA (Public Storage)
Listed Exchange: NYSE
Market Capitalization: Approximately $17 Billion
Index/ETF membership:
S&P 500 stock.  

The following video shows a quote screen for the NYSE stock PSA (Public Storage) from the Consolidated Quote System (CQS) during a one second period of time. Each record (row) shows the quote from a reporting exchange, except for the first row which shows the National Best Bid/Offer (NBBO).

The columns are:

Exg : The reporting exchange (NBBO is the first row) as reported by CQS.
Time : The CQS time stamp for the Exg and/or NBBO.
# : A running count of quotes for each row.
Bid : The bid price.
Ask : The ask or offer price.
BSiz : The bid size in round lots (1=100 shares).
ASiz : The ask/offer size in round lots.
A-B : The bid/ask spread -- which is the ask price minus the bid price.
BBExg: The NBBO Bid Exg -- the exchange with the highest bid price. Only the top row has this field set.
BAExg : The NBBO Ask Exg -- the exchange with the lowest ask price.
Bid+- : The change in the bid price since the last quote for the record being updated.
Ask+- : The change in the ask price since the last quote for the record being updated.
BSz+-: The change in the bid size since the last quote for the record being updated.
ASz+-: The change in the ask size since the last quote for the record being updated.

Note how often the National Best Bid and Offer (NBBO) quickly changes by a full 2 cents.

20100722 - PSA.wmv (Windows WMV Format)
20100722 - (Quicktime MOV Format)
20100722 - PSA.txt (Raw data used in the video).

Publication Date: August 09, 2010

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