This was exactly how I calculated my own charts and they matched with the Price Limits page in CME.
CME -7% circuit breaker didn't work ?
- Thread starter TickSeeker
- Start date
This was exactly how I calculated my own charts and they matched with the Price Limits page in CME.
I am using CQG and was following the markets in real time when this happened. Also there is no missing timestamps in the data...
Can you show that time in a screenshot, approx noon US Central Time? (It's off to the left of the screenshots you posted.) IB shows the halt on NQ (TOS omits the 15 minutes). And then NQ does NOT halt when it reaches it's own 7% limit because it's limit was changed to 13% after that first halt (per the rules I linked to).
Sure. Here we can see they were in the halt mode because of -5% hit in overnight period, but after open we didn't hit -7% until noon US CT where it still traded lower:
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Buying right at the limit downs as you suggest, has been very punishing to those trapped in these LD halts that have resulted in large gap downs.
It would be about the dumbest thing you can do is to go long a tick away from a limit down, your likely to get trapped in halt that gaps down big.
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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.
So what is the problem or is it something I don't understand right ?
I saw the same thing via two different data providers and my broker. Others in a chat room saw it too...we were wondering why the "limit down" didn't kick in @ -7 %. Instead, it continue dropping almost another 10 points in Emini ES futures before trading stopped.
wrbtrader
Thank you very much for the information. I really appreciate.
I'll go and ask my broker what they know.
Earn2Trade-Ryan
Sponsor
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:
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....
You are correct here. I spoke to the CME directly about this instance on NQ. NYSE triggered rule 80b. This happened before NQ hit 7%. Once it resumed, 13% became the new CME limit.
No one is suggesting anyone buy every limit down. You have to know how to pick them.
Thank you for the information.
Do you know what was the time when NYSE did 80b and how long was it ?
EDIT:
"The market will re-open today at the following time: 13:11:17 ET"
https://www.nyse.com/trader-update/history#110000230482
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