Flash Crash Revisited Previously unpublished order book depth charts Back to Main Research Page We came across a few images showing order book depth for individual stocks during the flash crash that were never published. We constructed the data from order book data from direct exchange feeds. Important times to keep in mind: 14:42:44 The ignition event. 14:44:00 Approx time of start of Hot Potato Event 14:44:40 Number of stocks hitting LRP's exceeds 5 14:45:27 Emini Halt Starts (and marks the bottom) 14:45:28 Number of stocks hitting LRP's exceeds 10 14:45:32 Emini Halt Ends 14:45:35 Start of significant stub quote executions 14:47:00 Surge in stub quote executions starts 14:47:05 Widely followed (and very much delayed) Dow Jones index bottoms See also Feed Saturation Ratio, CQS Saturation, Direct Feed Saturation, and Flash Crash Summary Report. Below are 500 ms and 1 second interval charts of order book depth (up to 10 bid and 10 ask price levels) of 20 different stocks during the flash crash. The chart is color coded by resting order size in the book. Red means a lot of size, violet indicates very little size, and black indicates almost no size at all. On some charts (QQQQ at 14:36:10), note the sudden change in depth -- probably indicating a major player withdrawing from that stock. Back   Next Below are 1 millisecond interval charts of order book depth at the time of the ignition event (14:42:44.100). If you look closely, you can see bid order size withdrawl right before and around the event. Back     Next Below are tick charts of order book depth that are interesting. Note the sudden drop in liquidity in the ETF DIA at around 14:43. Also note how the liquidity doesn't drop in PFE until after it makes a bottom and is heading higher. These charts truly contradict the conclusions made by the SEC in their final analysis. Back      Next Inquiries: pr@nanex.net Publication Date: 12/21/2011 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.