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Analysis of the "Flash Crash"
Date of Event: 20100506
Part 2-b, Previous Occurrences - NYSE Quotes

If the quotes sent from the NYSE were stuck in a queue for transmission only to be time stamped when exiting the queue, then all data inconsistencies disappear and things make sense. In fact, this very situation occurred on 2 separate occasions at October 30, 2009, and again on January 28, 2010 as shown below.

Charting the bid/ask cross counts for those two days reveals the same pattern as 5/6! Looking at the details of the trade and quote data on those days shows the same time stamp/price inconsistencies. The NYSE stated that during the same intervals, they were experiencing delays in disseminating their quotes!

In summary, quotes from NYSE began to queue, but because they were time stamped after exiting the queue, the delay was undetectable to systems processing those quotes. On 05/06/2010 the delay was enough to cause the NYSE bid to be just slightly higher than the lowest offer price from competing exchanges, but small enough that it was difficult to detect. This caused sell order flow to route to NYSE -- thus removing any buying power that existed on other exchanges. When these sell orders arrived at NYSE, the actual bid price was lower because new lower quotes were still waiting to exit a queue for dissemination.


The following charts show individual stocks were the NYSE quotes were lagging noticably behind the market on 10/30/2009. This was a day were NYSE did make announcements that their quotes were running behind (see above).





Chart 1-a, 1-b:

Take a quick look at the first chart for TCK. Note the low NYSE bid at approx 9:47 which corresponds to the real price low at 9:42. If you simply shift the entire NYSE bid plot back 5 min it overlays perfectly on the real price/timeline. So, the NYSE Bids are approx. 5 minutes behind the market for this stock yet they are time stamped at the current time! How can this happen? There is only ONE possible explanation; NYSE quotes are time stamped after exiting the queue, NOT when the quotes were actually made.

The remaining charts show the same quote behavior (quote lag time varies) and have been randomly selected from a long list of potential candidates.


TCK on 10/30/2009


TCK on 10/30/2009



Chart 2-a, 2-b:

SLB on 10/30/2009


SLB on 10/30/2009



Chart 3-a, 3-b:

Take a look at STT. Note the NYSE bid rise from 10:42 - 10:45. That rise actually belongs to the real price rise occurring at 10:00 - 10:03. The NYSE Bids are approx. 40 minutes behind the market and again they are time stamped at the current time.

STT on 10/30/2009


STT on 10/30/2009



Chart 4-a, 4-b:

The TD chart shows NYSE about 15 min behind. Take a look at the low NYSE bid at approx 10:07 which corresponds to the real price low at 9:55. If you simply shift the entire NYSE bid plot back 15 min it overlays perfectly on the real price/timeline.

TD on 10/30/2009


TD on 10/30/2009





Chart 5-a, 5-b:

TOT on 10/30/2009


TOT on 10/30/2009



Supporting Data:

20091030_TCK_Price.txt
20091030_TCK_NYSEBid.txt
20091030_TCK_PACFBid.txt

20091030_SLB_Price.txt
20091030_SLB_NYSEBid.txt
20091030_SLB_PACFBid.txt

20091030_STT_Price.txt
20091030_STT_NYSEBid.txt
20091030_STT_PACFBid.txt

20091030_TD_Price.txt
20091030_TD_NYSEBid.txt
20091030_TD_PACFBid.txt

20091030_TOT_Price.txt
20091030_TOT_NYSEBid.txt
20091030_TOT_PACFBid.txt



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Publication Date: June 18, 2010
http://www.nanex.net



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