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(The Year 2012 In Review)
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|User Info||SEC Takes Pulls From Bong, Issues Nonsense; entered at 2010-10-01 13:52:46|
Registered: 2007-08-26 East Tennessee Eastern Time
And the _REAL_ report: http://www.nanex.net/FlashCrashFinal/Fla....|
The SEC is a ****ing joke.
Approximately 400ms before the eMini sale, the quote traffic rate for all NYSE, NYSE Arca, and Nasdaq stocks surged to saturation levels within 75ms. This is a new and surprising discovery. Previouisly, when we looked at time frames below 1 second, we thought the increase in quote traffic coincided with the heavy sales, but we now know that the surge in quotes preceded the trades by about 400ms. The discovery is surprising, because nearly all the trades in the eMini and ETFs occurred at prevailing bid prices (a liquidity removing event).
Last modified: 2010-10-01 13:53:27 by asimov