Video clip of high quote rates for PSA on 7-22-2010
Video clip of high quote rates for PSA on 7-22-2010
August 6, 2010
May 6’th 2010 Flash Crash Analysis – Continuing Developments
PSA – 07-22-2010.
| Date: | July 22, 2010 |
| Symbol: | PSA (Public Storage) |
| Listed Exchange: | NYSE |
| Market Capitalization: | Approximately $17 Billion |
| Index/ETF membership: | http://finance.yahoo.com/q/ct?s=PSA+Components |
| S&P 500 stock. |
The following video shows a quote screen for the NYSE stock PSA (Public Storage) from the Consolidated Quote System (CQS) during a one second period of time. Each record (row) shows the quote from a reporting exchange, except for the first row which shows the National Best Bid/Offer (NBBO).
The columns are:
| Exg : | The reporting exchange (NBBO is the first row) as reported by CQS. |
| Time : | The CQS time stamp for the Exg and/or NBBO. |
| # : | A running count of quotes for each row. |
| Bid : | The bid price. |
| Ask : | The ask or offer price. |
| BSiz : | The bid size in round lots (1=100 shares). |
| ASiz : | The ask/offer size in round lots. |
| A-B : | The bid/ask spread — which is the ask price minus the bid price. |
| BBExg: | The NBBO Bid Exg — the exchange with the highest bid price. Only the top row has this field set. |
| BAExg : | The NBBO Ask Exg — the exchange with the lowest ask price. |
| Bid+- : | The change in the bid price since the last quote for the record being updated. |
| Ask+- : | The change in the ask price since the last quote for the record being updated. |
| BSz+-: | The change in the bid size since the last quote for the record being updated. |
| ASz+-: | The change in the ask size since the last quote for the record being updated. |
Note how often the National Best Bid and Offer (NBBO) quickly changes by a full 2 cents.
| 20100722 – PSA.wmv (Windows WMV Format) 20100722 – PSA.mov (Quicktime MOV Format) 20100722 – PSA.txt (Raw data used in the video). |