1. eMini Depth of Book. 2. eMini Depth of Book for every minute of every trading day between March 2010 and April 23, 2013
April 23, 2013 is the thick red line.
3. SPY Showing trades color coded by exchange.
The line of green dots is late reports from Dark Pools.
4. SPY Showing bids and asks color coded by exchange.
What happened to Chicago (blue triangles)?
5. SPY Showing quote spread and quotes per second from Chicago exchange.
Quotes stopped updating from one exchange for about 100 seconds.
6. SPY Showing trades color coded by exchange. Zoom 1.
Note the consistently late Dark Pool trade reports (green squares). 7. SPY Showing trades color coded by exchange. Zoom 2.
Note the consistently late Dark Pool trade reports (green squares).
8. SPY Showing trades color coded by exchange. Zoom 3.
Note the consistently late Dark Pool trade reports (green squares).
9. SPY Showing trades color coded by exchange. Zoom 4. 10. Percentange of stocks with NBBO Spreads at different amounts (lower is better). 11. Percentange of stocks with NBBO Stability at different levels (lower is better). 12. Sum of Stocks with Locked (blue) or Crossed (red) NBBO quotes. 13. Number of stocks with Extreme Order Cancel Rates. (Rise of the Machines) Nanex Research
