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Flash Crash Revisited
Previously unpublished order book depth charts

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We came across a few images showing order book depth for individual stocks during the flash crash that were never published. We constructed the data from order book data from direct exchange feeds.

Important times to keep in mind:

14:42:44 The ignition event.
14:44:00 Approx time of start of Hot Potato Event
14:44:40 Number of stocks hitting LRP's exceeds 5
14:45:27 Emini Halt Starts (and marks the bottom)
14:45:28 Number of stocks hitting LRP's exceeds 10
14:45:32 Emini Halt Ends
14:45:35 Start of significant stub quote executions
14:47:00 Surge in stub quote executions starts
14:47:05 Widely followed (and very much delayed) Dow Jones index bottoms

See also Feed Saturation Ratio, CQS Saturation, Direct Feed Saturation, and Flash Crash Summary Report.

Below are 500 ms and 1 second interval charts of order book depth (up to 10 bid and 10 ask price levels) of 20 different stocks during the flash crash. The chart is color coded by resting order size in the book. Red means a lot of size, violet indicates very little size, and black indicates almost no size at all. On some charts (QQQQ at 14:36:10), note the sudden change in depth -- probably indicating a major player withdrawing from that stock.

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Below are 1 millisecond interval charts of order book depth at the time of the ignition event (14:42:44.100). If you look closely, you can see bid order size withdrawl right before and around the event.

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Below are tick charts of order book depth that are interesting. Note the sudden drop in liquidity in the ETF DIA at around 14:43. Also note how the liquidity doesn't drop in PFE until after it makes a bottom and is heading higher. These charts truly contradict the conclusions made by the SEC in their final analysis.

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Publication Date: 12/21/2011

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