Yeah Nanex produces lots of interesting stuff, I follow the...

Yeah Nanex produces lots of interesting stuff, I follow the founder on twitter- https://twitter.com/nanexllc

He rips apart the exchanges and brokerage firms on a daily basis. His insight into order flow is unprecedented.

The US markets have some serious liquidity issues during high volatility environments- back in the day there was real market makers to take the other side, or step in when the punters gave up- These days MM's are HFTs that are far more calculated and risk adverse, so when these big moves happen they're less likely to step in, hence you end up with large spreads and bad pricing. The other issue is that different exchanges report different quotes at different times, so trades don't get executed at the real NBBO- only privileged market participants can see the real order flow thus the real NBBO. NBBO = national best bid and offer