The charts presented in this report show trading activity in 250ms increments. Time is is shown on the X-axis both on the top and bottom of the chart. Price is shown on the Y-axis on the left and right of the chart. Each trade is represented by a colored dot, the color designating the exchange the trade was reported from.
We have uncovered new evidence that the primary cause of the Flash Crash originated with an aggressive, complex, cross-asset strategy that overloaded quotation systems (public and private) leading to the loss of liquidity and other ill-effects identified in the SEC report. We have also uncovered evidence that NYSE's direct feed, OpenBook Ultra, would consistently delay 10 - 200ms when quote traffic exceeded a specific threshold amount -- a relationship that was so easy to spot, it had to be widely known by sophisticated trading shops. Curiously, the SEC, which analyzed the same data, made no mention of this crucial information.
Archived as of 9/29/2010. Please see NxResearch for new articles. In our original Flash Crash Analysis report, we dedicated a section to an observed phenomena we termed "Quote Stuffing", in which bursts of quotes (at very high rates) with extremely unusual characteristics were observed. As we continue to monitor the markets for evidence of Quote Stuffing and Strange Sequences (Crop Circles), we find that there are dozens if not hundreds of examples to choose from on any given day. As such, this page will be updated often with charts demonstrating this activity.
This first set of charts shows the relationship between quote message traffic and delay in NYSE's OpenBook Ultra (their premium direct feed product) on May 6, 2010. We count the number of new orders (message 'O') and cancel orders (message 'C') for each 20ms period and plot this as a blue line, scaled to messages/second. We also take an average of the difference between the SourceTime and SendTime fields, and plot this as a red line scaled in microseconds.
The chart above shows the frequency and intensity of the delay in NYSE's quote sent to CQS grouped by the symbol's first character. Stocks beginning with letters A through M, except for I and J saturate to higher levels, and more quickly than stocks beginning with other letters. The stock symbol GE was found to have reached a delay of 24 seconds.
The chart above shows GE (one of the stocks we pointed out as lagging in our initial analysis) for 05/06/2010, comparing the time stamps of OpenBook vs. CQS. CQS (Consolidated Quotation System) is the method in which 95% of all US market participants receive their data and is also responsible for calculating the NBBO for all listed stocks. There are however premium products direct from the exchange which are not disseminated through CQS. One such product is OpenBook from NYSE. In comparing time stamps of quotes from CQS to OpenBook, it is clear this time delay exceeded 20 seconds.
The chart above shows the total number of NYSE listed stocks on each exchange where the CQS bid price that was higher than the National Best Offer price during each one-second interval. The chart below shows the total number of NYSE listed stocks on each exchange where the CQS offer price that was lower than the National Best Bid price during each one-second interval. We only display exchanges that had a significant number.
Compare the quote saturation on 05/06/2010 at 14:42:43.600 to that on 04/28/2010 and note the similarities. Quote and Trade rates at 25ms intervals at the beginning of the drop. Multiply by 40 to get per second equivalents. Note that on May 6 the 7,500 level appears to be the limit, or saturation point. Note also on that day the quote rate spikes high about 500ms before the massive surge in trades.