| Flash Crash
Previously unpublished order book depth charts
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.
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.
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.
Publication Date: 12/21/2011
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