151k IN ES @ 37.50

"Between 11:03 and 11:04 CT today, there were a series of transactions in ESH0 in which a market participant appears to have inadvertently traded approximately 200,000 contracts as both buyer and seller. CME maintains trade practice and risk management rules and procedures respecting such matters. In keeping with standard practices and CME's self-regulatory responsibilities, CME is reviewing the circumstances of this event."

:cool:
 
Quote from AMT4SWA:

Definitely showing the fat finger in several bid/ask data runs today........some one is definitely talking to the CME right now......LOL! :eek:
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Yes indeed......so WHO was doing the "talking" with the CME???

I would sure like to know how the CME Globex let someone make the market with themselves for a 200K run of orders.....hmmmm??? :eek:
 
oops, I misread the posts and thought it was a 2 huge block trades... guess not!

if this really is an algo, it will just fuel the fire for more regulation of HFT.
 
Quote from AMT4SWA:

"Between 11:03 and 11:04 CT today, there were a series of transactions in ESH0 in which a market participant appears to have inadvertently traded approximately 200,000 contracts as both buyer and seller..."
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so c) it is... thanks for posting it AMT.

Quote from lurefo:

I think some of the folks here are missing the point.

It's not so much about position limits. It's about one or two (or more) parties trading an abnormal volume of contracts at a FIXED price (37.25&37.50).

a) There were multiple parties involved, and there was an agreement to trade at that price... how likely is that?

b) There was no agreement and an entity (or a few parties) took advantage of that huge volume displayed in the book. The fact that so much volume was done so quickly given the environement (no panic selling or covering prior to that) makes me think it that this scenario is quite unlikely.

c) The same party traded with itself.:mad:

d)?
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Quote from lurefo:

so c) it is... thanks for posting it AMT.
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No.....someone apparently was able (hmmmmm???) to trade with themselves for 200k of order flow.
 
Quote from AMT4SWA:

"Between 11:03 and 11:04 CT today, there were a series of transactions in ESH0 in which a market participant appears to have inadvertently traded approximately 200,000 contracts as both buyer and seller. CME maintains trade practice and risk management rules and procedures respecting such matters. In keeping with standard practices and CME's self-regulatory responsibilities, CME is reviewing the circumstances of this event."

:cool:
More...

Algo shops often have different 'strategies' running simulltaneously so I would guess what has happened is that strategy A within a firm has traded with strategy B, say, within the same firm.

A worse situation would be if A was offering 1137.25 and B bidding 1137.5 and some other algo was picking them off for the 0.25 arb, sounds like this wasn't the case here.

I guess the damage in this case is limited to the transaction cost (clearing?!) on 200k plus a slap on the wrist from CME, which is probably a limited fine since they will want to keep their business.
 
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