TAILIEUCHUNG - REPORT OF THE STAFFS OF THE CFTC AND SEC TO THE JOINT ADVISORY COMMITTEE ON EMERGING REGULATORY ISSUES

Expressiveness refers to the ability of the event notification service to provide a powerful data model with which to capture information about events, to express filters and patterns on notifications of interest, and to use that data model as the basis for optimizing notification delivery. In terms of scalability, we are referring not simply to the number of event generators, the number of event notifications, and the number of notification recipients, but also to the need to discard many of the assumptionsmade for local-area networks, such as low latency, abundant bandwidth, homogeneous platforms, continuous and reliable connectivity, and centralized control. We recognize that there are other important attributes of an. | FINDINGS REGARDING THE MARKET EVENTS OF MAY 6 2010 REPORT OF THE STAFFS OF THE CFTC AND SEC TO THE JOINT ADVISORY COMMITTEE ON EMERGING REGULATORY ISSUES . Commodity Futures Trading Commission Three Lafayette Centre 1155 21st Street NW Washington . 20581 202 418-5000 . Securities Exchange Commission 100 F Street NE Washington . 20549 202 551-5500 SEPTEMBER 30 2010 This is a report of the findings by the staffs of the . Commodity Futures Trading Commission and the . Securities and Exchange Commission. The Commissions have expressed no view regarding the analysis findings or conclusions contained herein. CONTENTS EXECUTIVE What Happened .1 Liquidity Crisis in the Liquidity Crisis with Respect to Individual Lessons About this I. TRADING IN BROAD MARKET INDICES ON MAY . Market Conditions on May 6 Prior to the Period of Extraordinary . Stock Index Products The E-Mini Futures Contract and SPY Exchange Traded . A Loss of . Automated Execution of A Large Sell Order in the . Cross-Market . Liquidity in the Stocks of the S P 500 Index. 18 II. MARKET PARTICIPANTS AND THE WITHDRAWAL OF . . Market . a. General Withdrawal of . b. Traditional Equity and ETF Market . c. ETFs and May . d. Equity-Based High Frequency . e. Internalizers . 57 . f. Options Market Makers. 62 . Analysis of Broken Trades . 63 . a. Stub Quotes. 63 . b. Broken Trades . 64 III. POTENTIAL IMPACT OF ADDITIONAL . NYSE Liquidity Replenishment . Declarations of Self-Help against NYSE . a. Overview of Rule 611 and the Self-Help . b. Evaluation of Self-Help Declarations on May . Market Data IV. ANALYSIS OF ORDER BOOKS. 80 . Analysis of .

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