Nanex Flash Crash Summary Report
III. Further Research
Here are some ideas for further research. Nanex does not have access to brokerage account data and, therefore cannot research those questions requiring such access.
- Were the sales of eMini's and ETF's at 14:42:44.100 coordinated?
- Were the quotes that occurred prior to the eMini/ETF sales (in question 1)
- Were the initial sales and quotes on 4/28 also coordinated?
- Can the initial events of 4/28 and 5/6 be tied together?
- Why did what appears to have been a very profitable SPY/eMini Futures
arbitrage opportunity, go unexploited for almost 4 minutes? Were there too few
traders with quote data deemed reliable enough to execute the strategy?
- Could the peak in the NYSE-CQS quote delay have been an indication that
many trading systems and networks were stressed to the point of collapse?
Is that why the quote and trade rates dropped off and remained low for the rest
of the recovery?
- Further investigate the 'flickering quote' exception of Reg NMS Rule 611
and how it might relate to many of the sequences we see
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