DAX 40 tick spike - anyone know why ?

trendtrader9 · Sep 9, 2005

fat finger/ stops ?

or was it corporate news ?

thanks in advance

klw · Sep 9, 2005

Just a shake out as far as I can see.

Amnesiac · Sep 9, 2005

Hi,

It was caused by an "input error".
Apparently a key on some trader's keyboard got "stuck", resulting in selling way more than he intended.

At least that's what they're saying here on german TV (n-tv).

Amnesiac

Sophomore · Sep 9, 2005

Well, that was interesting. And here I thought there was another terrorist attack somewhere.

fader · Sep 9, 2005

thx for the update - however, i don't believe this stuff - anyone who is allowed to trade that sort of size must have more than one safeguard built into the execution platform in this day and age.. - funny how this kind of stuff always happens at key points -we had a gap up on top of the big rally over the last few days... - new multi-year highs... so could see there was no more buying at these levels at the top here and they were just sitting there, waiting for some "fat finger" to let some air out

Quote from Amnesiac:

Hi,

It was caused by an "input error".
Apparently a key on some trader's keyboard got "stuck", resulting in selling way more than he intended.

At least that's what they're saying here on german TV (n-tv).

Amnesiac

karabugla · Sep 9, 2005

Quote from fader:

thx for the update - however, i don't believe this stuff - anyone who is allowed to trade that sort of size must have more than one safeguard built into the execution platform in this day and age.. - funny how this kind of stuff always happens at key points -we had a gap up on top of the big rally over the last few days... - new multi-year highs... so could see there was no more buying at these levels at the top here and they were just sitting there, waiting for some "fat finger" to let some air out

The problem is that when you only have a limit per order ( for example max. 200 contracts per order) but no overall position limit, then lots of smaller orders will go through without a problem. And since institutional desks often have large orders, the most probably wont have any or only extremely wide position limits.

klw · Sep 9, 2005

I agree with you fader - it looked like a shake out - look at the market in the hour prior to the spike.

There was no business there for anybody.

fader · Sep 9, 2005

yes, but that's the point then - what is "fat finger"? - i thought that it is one large order, i.e. instead of 200, it's 2000000 or whatever - and not lots of smaller orders as you state?

Quote from karabugla:

The problem is that when you only have a limit per order ( for example max. 200 contracts per order) but no overall position limit, then lots of smaller orders will go through without a problem. And since institutional desks often have large orders, the most probably wont have any or only extremely wide position limits.

muppet · Sep 9, 2005

The first spike down was caused by a single 500 lot order.

Maybe someone thought they were rolling a position, but filled out their eticket wrongly and did an outright by mistake??

fader · Sep 9, 2005

actually good point muppet - i see the 511 print on my T&S at 09:17:03 (did you mean this one? i don't see an even 500 print..at least not on my IB t&s) - that spiked the price down to 5005.50... then an immediate 5pts back... - so i could "guess" that someone wanted to enter an order for 51 and then added an extra "1" digit in error.. - however, look at the t&s preceding to this spike - there is around a 100 lot at 5012, then another around 200 lot at 5011..i.e. the downward momentum WAS already gaining pace with some volume in it.... which is why i am suspiscious about this fat finger stuff.

Quote from muppet:

The first spike down was caused by a single 500 lot order.

Maybe someone thought they were rolling a position, but filled out their eticket wrongly and did an outright by mistake??