From the association who brought you “quote stuffing” comes a added abundant attending at the May 6th Flash Crash.
Among the better mysteries of the Flash Crash has been what angry a big – but not acute – sell-off in the Dow Jones Industrial Average into a 1,000 point free-fall.
Nanex LLC, now accepted for accepting coined the appellation “quote stuffing” – the split-second, auctioning of computerized buy or advertise orders, which are again instantly canceled – has taken a added dive into the acute fractions-of-a-second moments back the bazaar came unglued.
After slicing the order-flow bottomward to 25 milliseconds, Nanex’s Eric Hunsader says he sees the aisle of the destabilizing convenance of adduce stuffing. The approach apropos adduce capacity is that it clogs up the adduce feeds and allows aerial abundance traders to accumulation from any cursory aberration amid quotes on abstracted barter feeds.
Back on June 18, Nanex, again a around alien banal abstracts augment company, acquaint a address postulating that a massive battery of banal quotes may accept played a role in destabilizing the bazaar on May 6. But it wasn’t bright absolutely how it transpired that day.
In the meantime, Mr. Hunsader is out with his latest anatomization of the afternoon’s trading. The aftereffect is a dizzying, but absolute blueprint about what happened amid 2:42 and 2:53 pm.
It affectionate of looks added like a map of El Dorado but buck with us, because there’s some dank nuggetsd in them thar hills.
At 2:42 the Dow Jones Industrial Average was already bottomward a ample 400 credibility and biconcave fast, accepting absent about 100 credibility in six minutes. But from there, the banal bazaar went into a chargeless fall.
According to Nanex’s analysis, at 2:42, 43 abnormal and 600 milliseconds, article abnormal happened: there was a massive billow of orders that were, for the best part, anon cancelled. (the aboriginal leg up in the chart)
What’s key about this billow of quotes is that …
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