JTools One Sec Exg Plotter Sequencer
As mentioned previously, the One Sec Exg Plotter was developed to help us in our initial investigation of the Flash Crash of May 6'th, 2010. With it we were able to visually see what we suspected, that the NYSE exchange became delayed just prior to the final plunge down and became increasingly worse as time progressed. Below is a step by step tutorial on using the One Sec Exg Plotter to view the NYSE delay . If you are a Nanex customer and have the May 6'th 2010 historical file (available upon request), you will be able to replicate the results yourself with ease.
The first thing was to bring up the symbol and chart it for the time frame in question. Showing all quoting exchanges, composite trades and the NBBO:
Removing all trades and the NBBO so that only exchange quotes are shown:
Finally removing all quotes except for NYSE, NSDQ and ARCA bids, the delay in the NYSE becomes obvious:
Showing the sequence with a little more time:
One of the other stocks documented as being delayed:
JTools One Sec Exg Plotter Sequencer