May 6'th 2010 Flash Crash Analysis Continuing Developments The Mini Flash Crash of 04-28-2010 Publication Date: 09/20/2010 Back to Table Of Contents While scanning historical data searching for previous days which exhibit similar behavior to that of 05/06/2010, we found a time on 04/28/2010 with quote bursts very similar to those we saw on 05/06/2010 (just prior to the NYSE feed delay). The time of this quote burst began at 11:27:46.100 on 04/28/2010. We have determined that quote rates above 7,000 to 7,500 per 25ms interval (280,000 to 300,000/sec) will saturate (stuff) CQS+UQDF (note the quote/trade rate charts are in 25 millisecond resolution). (click on image for a high resolution view): Note the eerie similarities at the start of the drop on 04/28 and 05/06 in the chart below: (click on image for a high resolution view): This event triggered a delay in several NYSE stocks beginning at 11:27:47. Show below are the SPY EMINI and the DJI: We decided to investigate this further to determine if any stocks experienced the same delays from the high quote activity as those we saw on 05/06/2010 and reported on in our initial Flash Crash Analysis. We found many. Note that this was just one week prior to 05/06/2010, the day of the flash crash. While less drastic, the event was very similar to that of 05/06/2010. Huge bursts of quotes flooded the system and almost immediately NYSE quotes began to lag the market. CQS would choose the stale NYSE quotes as the BBO, the same as we described on 05/06/2010 in our report "The NBBO is Broken". The following images show many of the stocks with delayed quotes on 04/28/2010, although it is by no means a complete list. It should be noted that NONE of the stocks listed below were reporting 'slow mode' quotes. All of the quote data recorded was sent as normal, quote condition 0 quotes. Trading was also occurring on all exchanges at different price levels. click on any image for a high resolution view): ADM: AXP: CVX: HD: HPQ: JNJ: JPM: MMM: MS: PG: UN: UNH: USB: WFC: WMB: XTO: Inquiries: pr@nanex.net Publication Date: 09/20/2010 http://www.nanex.net This report and all material shown on this website is published by Nanex, LLC and may not be reproduced, disseminated, or distributed, in part or in whole, by any means, outside of the recipient's organization without express written authorization from Nanex. It is a violation of federal copyright law to reproduce all or part of this publication or its contents by any means. This material does not constitute a solicitation for the purchase or sale of any securities or investments. The opinions expressed herein are based on publicly available information and are considered reliable. However, Nanex makes NO WARRANTIES OR REPRESENTATIONS OF ANY SORT with respect to this report. Any person using this material does so solely at their own risk and Nanex and/or its employees shall be under no liability whatsoever in any respect thereof.