151k IN ES @ 37.50

Quote from AMT4SWA:

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:
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Could you get infinite volume at a price...?!

I recall an instance at my old HF firm when we took down Liffe for 30 seconds or so after two of our stratgies simultaneously sent thousands of messages (caused by some faulty C+ code)...

Fortunately we didn't get any fills on our orders, but it made me wonder...:(
 
Quote from benwm:

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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But it's weird that you could get so many orders and not move the markets. I don't know how you could get 2 competing algos that wouldn't move the markets by more than 1 tick.

Very rarely can you get weird interaction between two sets of computer code and not see the results move exponentially towards some drastic result, ie. positive feedback loop to infinity.

As someone else mentioned, the flow was completely orderly, so whatever they were doing, the buys and sells were exactly matched. It doesn't seem like they were picking off anyone else's orders as well, otherwise it would have moved the markets bigtime.

What if they weren't match orders though? Financial catastophe?
 
So you guys could stop guessing...


Code: 
12:03:36.735  1137.75 x 1138.00  296 x 1284   
12:03:36.735  1137.75 x 1138.00  296 x 106   
12:03:36.735  217s1137.75   S.20/BLK
12:03:36.735  1177s1138.00   B.164/HI/BLK
12:03:36.814  1137.75 x 1138.00  523 x 106   
12:03:36.892  1137.75 x 1138.25  495 x 1167   
12:03:36.892  108s1138.00   B.45=/x2/HI/BLK
12:03:36.892  547s1138.25   B.99/x2/HI/BLK b/sw.aggr(0.25,655)
12:03:36.892  56s1137.75   S.9/x2 rfrB(56)
12:03:36.922  1137.75 x 1138.00  495 x 11   
12:03:36.922  926s1137.75   S.47/BLK
12:03:36.922  1427s1137.50   S.151/BLK
12:03:36.965  1137.50 x 1138.00  435 x 11
12:03:36.965  1137.25 x 1137.50  2286 x 19453
12:03:36.965  634s1137.50   S.88=/BLK -tkO(20087)
12:03:36.982  1137.25 x 1137.50  2286 x 82228
12:03:36.982  136s1137.50   B.28/BLK
12:03:36.982  6s1137.25   S.2
12:03:37.010  1137.25 x 1137.50  2326 x 82228
12:03:37.010  1137.25 x 1137.50  2326 x 112006
12:03:37.010  272s1137.50   B.33/BLK
12:03:37.018  1137.25 x 1137.50  2351 x 112006
12:03:37.029  1137.25 x 1137.50  2351 x 125296
12:03:37.029  153s1137.50   B.21/BLK
12:03:37.042  1137.25 x 1137.50  2421 x 125296
12:03:37.049  1137.25 x 1137.50  2421 x 144849
12:03:37.049  203s1137.50   B.39/BLK
12:03:37.049  921s1137.25   S.60/BLK
12:03:37.063  1137.25 x 1137.50  2421 x 144849
12:03:37.068  1137.00 x 1137.25  1863 x 27235
12:03:37.068  1564s1137.25   S.178=/BLK -tkO(28799)
12:03:37.068  50s1137.50   B.15
12:03:37.101  1137.00 x 1137.25  1863 x 14497
12:03:37.101  30562s1137.25   B.143=/BLK
12:03:37.101  9s1137.00   S.6
12:03:37.139  1137.00 x 1137.25  1844 x 14497
12:03:37.139  1137.25 x 1137.50  3 x 128334
12:03:37.139  14172s1137.25   B.46=/BLK +tkB(14175)
12:03:37.139  20486s1137.50   B.75/BLK b/sw.aggr(0.25,34658) +tkB(34661)
12:03:37.178  1137.25 x 1137.50  3 x 67660
12:03:37.178  60651s1137.50   B.129/BLK
12:03:37.178  1s1137.25   S
12:03:37.208  1137.25 x 1137.50  95 x 67660
12:03:37.208  1137.25 x 1137.50  95 x 14439
12:03:37.208  53458s1137.50   B.87/BLK
12:03:37.208  208s1137.25   S.31/BLK
12:03:37.236  1137.25 x 1137.50  7 x 14439
12:03:37.276  1137.25 x 1137.50  7 x 633
12:03:37.276  14446s1137.50   B.149=/BLK
12:03:37.276  55s1137.25   S.8
12:03:37.276  234s1137.75   B.18/BLK b/sw.aggr(0.25,289)
12:03:37.304  1137.00 x 1137.50  1774 x 633
12:03:37.305  1137.00 x 1138.00  1774 x 447
12:03:37.305  989s1137.75   B.101/x4/BLK b/sw.aggr(0.25,1278)
12:03:37.305  1s1138.00   B/x4 b/sw(0.50,1279)
12:03:37.323  1137.75 x 1138.00  14016 x 447
12:03:37.328  1137.75 x 1138.00  14016 x 444
12:03:37.328  515s1137.75   S.37/BLK
12:03:37.332  1137.75 x 1138.00  28929 x 444
12:03:37.332  1137.75 x 1138.00  28929 x 486
12:03:37.332  397s1137.75   S.64/BLK
12:03:37.332  1s1138.00   B
12:03:37.365  1137.75 x 1138.00  70266 x 486
12:03:37.365  1137.75 x 1138.00  70266 x 516
12:03:37.365  192s1137.75   S.30/BLK
12:03:37.365  1s1138.00   B
12:03:37.411  1137.75 x 1138.00  70427 x 516
12:03:37.424  1137.75 x 1138.00  70427 x 513
12:03:37.424  103s1138.00   B.31/BLK
12:03:37.424  54s1137.75   S.22
12:03:37.482  1137.75 x 1138.00  70373 x 513
12:03:37.482  1137.75 x 1138.00  70373 x 606
12:03:37.482  49s1137.75   S.17/csz(103)
12:03:37.500  1137.75 x 1138.00  70355 x 606
12:03:37.516  1137.75 x 1138.00  70355 x 461
12:03:37.516  290s1137.75   S.24/BLK
12:03:37.516  126s1138.00   B.22/BLK
12:03:37.578  1137.75 x 1138.00  70834 x 461
12:03:37.580  1137.75 x 1138.00  70834 x 259
12:03:37.580  57s1137.75   S.19
12:03:37.580  121s1138.00   B.25/BLK
12:03:37.684  1137.75 x 1138.00  71149 x 259
12:03:37.709  1137.75 x 1138.00  71149 x 96
12:03:37.709  95s1137.75   S.14
12:03:37.709  111s1138.00   B.22/BLK
12:03:37.778  1137.75 x 1138.00  71121 x 96
12:03:37.779  1137.75 x 1138.00  71121 x 23
12:03:37.779  70s1137.75   S.7
12:03:37.779  83s1138.00   B.34
12:03:37.858  1137.75 x 1138.00  71098 x 23
12:03:37.859  1138.00 x 1138.25  4 x 1347
12:03:37.859  231s1138.00   B.45=/BLK +tkB(235)
12:03:37.859  6s1138.25   B.2/HI b/sw(0.25,237) +tkB(241)
12:03:37.859  22s1137.75   S.6
 
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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or say ,societe general and a hedge fund did a cross, both using g sax as thier broker
 
yeah really, the rules are too vague, what really is a block trade? Placing orders larger then the book depth or what?

Quote from ammo:

why are block trades illegal and at what volume is it considered a block trade
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