Shown Above - 05/06/2010 at 14:42:43.600 - Quote Saturation
Quote and Trade rates at 25ms intervals at the beginning of the drop. Multiply
by 40 to get per second equivalents. Note that the 7,500 level appears to be
the limit, or saturation point. Note also that the quote rate spikes high about
500ms before the massive surge in trades.
Shown Below - The same data for 04/28/2010 (note the similarities to
05/06/2010). More on 4/28/2010. |
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