Nanex Research

Nanex ~ 24-Aug-2012 ~ Flash Crash ISO Trades

The ratio of ISO (Intermarket Sweep Order) Trades from NY-Arca on May 6, 2010 (the day of the flash crash) rose to unusual levels about 30 minutes before the crash. The chart below shows the ratio of ISO trades for 5 of the active reporting exchanges over the entire May 6, 2010 trading session. The light blue colored line shows the ratio from NY-Arca. This was probably due to exchange connectivity problems.

The following 5 charts plot the ISO or non-ISO trades in SPY along with the NBBO in 10-second intervals during the flash crash (May 6, 2010). The shaded area shows the NBBO (National Best Bid and Offer spread) and is colored gray for normal, yellow for locked (bid = ask), or red for crossed (bid > ask). The volume shown in the lower panel of each chart is the number of shares for the trades shown during each 10 second interval.

1. SPY ISO Trades From NYSE-Arca.

2.SPY non-ISO Trades From NYSE-Arca.
Compare this chart to the one above. Note the disappearence of non-ISO trades at 14:20, and again at 14:35, which doesn't occur in ISO trades.

3. SPY ISO Trades From Cincinatti (NSX).
Note the delay that starts around 14:42:40, and then a complete outage around 14:45

4. SPY non-ISO Trades From Cincinatti (NSX).
Compare with chart above. When ISO trades disappear, a significant increase in non-ISO trades appear, and the are significantly delayed relative to the NBBO.

5. SPY All Trades from Chicago Stock Exchange
Chicago stops printing trades just after 14:44.

The next 4 images are 10 millisecond interval charts of SPY showing trades and quote range (bid/ask spread) color coded by exchange. Not all exchanges are shown for clarity. The shaded area is the bid/ask spread and is color coded by exchange.

6. Delay of about 600 milliseconds develops in BATS Quote, but not BATS Trade

7. Showing just trades and quote range from BATS.
We've dubbed this phenomenom fantaseconds.

8. Delay of about 600 milliseconds develops in BATS Quote, but not BATS Trade. Smaller delay develops in Nasdaq and NY-Arca quotes, but not their trades.

9. Showing just trades and quote range from BATS.
More fantaseconds.

Nanex Research