It is well known that many systems were overloaded on that day — and approx. 40% of the quotes would not have been present if a minimum quote life rule of 50ms was in place.

We decided to run an analysis to see how much less traffic would be present if the 50ms rule (which we recommended in our initial Flash Crash report) would have been in place:

1. Quotes and trades are summed for each reporting exchange for each stock.
2. After 1 second elapses, take the difference between the quote count and trade count for each reporting exchange for each stock. (since a quote that generates a trade is certainly valid, you subtract them out for a true “pure” quote count number).
3. If that difference is greater than 20 (there are 20 intervals of 50ms in one second), then accumulate the amount that exceeds 20.
4. The dark blue line (“with 50ms rule“) is plotted after subtracting out the accumulated amount each second.