CME -7% circuit breaker didn't work ?

TickSeeker

TickSeeker

Yesterday 2020-03-18 CME Daily Limits page said we have a -7% limit in NQ futures @ 6914,75 (in my own calculations too) but market still traded lower with no halt.

4gDeS24.png


So what is the problem or is it something I don't understand right ?
 
The point is in US-Session (CT) where this -7% limit should be active.

The chart is in UTC+2 but we don't have DST yet so the difference is only -7 hours.

So this shouldn't be a timezone issue.
 
Here is a copy of the numbers from Daily Limits Page (2020-03-18)

E-mini Nasdaq-100 Futures (NQM0)
743775
781125 / 706425
691475 <----------------- -7%
646625
594300
 
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Are they loosing too much commission and decided not to honor these limits o_O

Maybe there is some new rules we are not aware of ?
 
comagnum said:
The breaker should have triggered this evening in the ETH - price was free falling and magically reversed precisely at the limit down price - obvious manipulation.
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Not really, if you want to buy playing a for a bounce then thats a good place to put in your buy orders.
 
Yes, VWAP in the last 30 sec of reg trading hrs. In that thread you mentioned:
Did the overnight limit change?
I copied yesterday's limits, pasted here for ease of reading:

upload_2020-3-18_1-45-40-png.222414


So, what @TickSeeker noticed with NQ, also happened with ES (but I won't post any screenshots).

I don't really understand the entirety of it, but here're the rules for ES:
https://www.cmegroup.com/trading/equity-index/faq-sp-500-price-limits.html

So, because NDX and SPX hit their 7% limit (crazily at about the same time) (at approx noon Chicago time), then the futures were halted too, but, and I never noticed this before, the halt doesn't seem to be shown in the futures charts in some software packages!! The halt is a horizontal line in ndx/spx, but in nq/es the data is just missing in TOS (but it does show as a flat line in IB's TWS).

And after that, the 13% limit is the new limit. Bingo.

Note, I haven't dissected the logic of that page, but at first glance I can't see why they even have the futures limits if they're never triggered unless the underlying is triggered first (which has it's own limit).

I eagerly await clarification by one of the ET futures gods....


southall said:
Theres another thread on ET that says the price is based on the VWAP not the closing price
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