Nanex Research
Nanex 04-Apr-2014 ~ Nasdaq Stock Mini Flash Crash
On April 4, 2014, starting at 9:46:20, the stock of The Nasdaq OMX Group, Inc (Symbol:
NDAQ, Market Cap $6.1 Billion) suddenly dropped from 35.98 to 35.00 in just over 2 seconds
on approximately 100,000 shares. 500 Trades and 2,600 top of book quotes from 10 exchanges
and an unknown number of dark pools participated in the 2.7% price drop. The stock price
recovered to $35.77 in just over 1 second on approximately 44,000 shares (200 trades,
1,233 quotes) on 9 exchanges and an unknown number of dark pools.
We call this, HFT (High Frequency Trading) liquidity.
1. NDAQ Trades color coded by reporting exchange over 27 seconds of time.
2. NDAQ NBBO Spread over 27 seconds of time.
3. NDAQ Best Bids and Offers color coded by exchange over 27 seconds of time.
4. NDAQ Trades color coded by reporting exchange over 5 seconds of time.
5. NDAQ Best Bids and Offers color coded by exchange over 5 seconds of time.
6. NDAQ All Bids and Offers color coded by reporting exchange over 5 seconds
of time.
Nanex Research
Inquiries: pr@nanex.net