Nanex ~ 22-Apr-2013 ~ Google Flash Crash
On April 22, 2013 at 9:37:11.500 (ET), Google Flash Crashed. The price dropped from
$796 to $775 in about 3/4 of a second, then rebounded to $793 a second later. The drop
invovled 307 trades and 57,255 shares from 10 exchanges + dark pools. During the drop,
there were 5 orders placed for every trade executed (meaning 4 orders placed/canceled
for every trade).
See charts of HES later the same morning which
was likely from a fat finger (Google crash probably not from a fat finger)
1. GOOG - Showing trades color coded by exchange.
2. GOOG - Showing bids and asks color coded by exchange.
Plenty of quotes, but few lasting long enough.
3. GOOG - Showing trades color coded by exchange.
Zooming in from Chart 1.
4. GOOG - Showing bids color coded by exchange.
There are 5 times as many buy orders as trades. Over 1,000 orders were placed and
canceled during the 3/4 second drop!
5. GOOG - Showing trades color coded by exchange.
This is one second of data!