Flash Crash and Order Books
The Trader | Dec 22, 2011 02:40AM ET
Soon, two years, have passed since the flash crash, but we get very little details of what happened, and even less reports of how we could prevent further flash crashes. If we don’t know what happened, how will we prevent it from happening again?
Nanex is bringing us another great insight. Order books during the event. Courtesy Nanex;
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.
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