Right on, this is the key issue here, the order book was in a very illiquid and unstable state when the 75k order hit. People are paying to much attention to the order and not the market it was sent into.
Flash Crash Started With A Single Trade
- Thread starter pspr
- Start date
Right on, this is the key issue here, the order book was in a very illiquid and unstable state when the 75k order hit. People are paying to much attention to the order and not the market it was sent into.
I thought there was position limits, when you go to CME website it says 20k????
http://cmegroup.mediaroom.com/index.php?s=43&item=3068&pagetemplate=article
It still doesn't make sense to me...
"These hedging orders were entered in relatively small quantities and in a manner designed to dynamically adapt to market liquidity by participating in a target percentage of 9% of the volume executed in the market. As a result of the significant volumes traded in the market, the hedge was completed in approximately twenty minutes, with more than half of the participant's volume executed as the market rallied â not as the market declined. Additionally, the aggregate size of this participant's orders was not known to other market participants.
Additionally, the most precipitous period of market decline in the E-Mini S&P 500 futures on May 6 occurred during the 3½ minute period immediately preceding the market bottom that was established at 13:45:28. During that period, the participant hedging its portfolio represented less than 5% of the total volume of sales in the market. "
Also, individual stocks have had mini-flash-crashes of their own. Is Mary saying those are normal?
It still doesn't make sense to me...
"These hedging orders were entered in relatively small quantities and in a manner designed to dynamically adapt to market liquidity by participating in a target percentage of 9% of the volume executed in the market. As a result of the significant volumes traded in the market, the hedge was completed in approximately twenty minutes, with more than half of the participant's volume executed as the market rallied â not as the market declined. Additionally, the aggregate size of this participant's orders was not known to other market participants.
Additionally, the most precipitous period of market decline in the E-Mini S&P 500 futures on May 6 occurred during the 3½ minute period immediately preceding the market bottom that was established at 13:45:28. During that period, the participant hedging its portfolio represented less than 5% of the total volume of sales in the market. "
Also, individual stocks have had mini-flash-crashes of their own. Is Mary saying those are normal?
that cme statement that masher linked to was a rebuttal of the report from the sec, btw. they give much more color on the actual order, being the exchange who oversaw it. i encourage everyone to read it.
the overall implication by the sec, is that w&r behaved improperly and were responsible for the crash and indirectly, the cme was responsible for allowing this to take place in their markets.
both of those allegations are ridiculous and are imo either a reflection of the great idiocy of the sec, or a testament to it being a work of propaganda. more than likely, a mix of the two... because if the allegations were actually true and valid, we would see charges being brought up. which, take care to pay attention to, we're not going to see.
the overall implication by the sec, is that w&r behaved improperly and were responsible for the crash and indirectly, the cme was responsible for allowing this to take place in their markets.
both of those allegations are ridiculous and are imo either a reflection of the great idiocy of the sec, or a testament to it being a work of propaganda. more than likely, a mix of the two... because if the allegations were actually true and valid, we would see charges being brought up. which, take care to pay attention to, we're not going to see.
These reports are manufactured to divert attention from the real issue. The real issue is that unsupervised screen trading systems with no human market makers or specialists that are required to provide liquidity are subject to random crashes. There will more in the future. They are random events. They happen when there is a huge imbalance between supply and demand. But when the market moves up because of that they talk about "rally", "good economic reports", "confidence in the economy", "short covering", "shorts getting crashed". When the market crashes, they are trying to find out who is responsible. It is the end of rational thinking as we know it.
It was a giant stop loss order run. No other explanation is needed. it happens every day in many markets, just not on this scale.
I hypothesize that the ultra low rates have over incentivized leveraged traders, particularly institutions, who use stop loss order type selling/hedging on a massive scale.
I hypothesize that the ultra low rates have over incentivized leveraged traders, particularly institutions, who use stop loss order type selling/hedging on a massive scale.
During the OCT 1st emini trading sessions there were i recall 3 instances where 70000 or more contracts traded within 15 minutes.. how come there weren't 3 flash crashes on October the 1st? The SEC report is a load of bull. My concern is they start going "regulating" the maximum number of contracts that can be traded within an hour.
businessstaxes
Guest
just proof on how illiquid this market really is
an unheard of financial company or hedge fund with a puny 4 billion value of futures contracts does a market order and shuts down the market and 'investigation'
there are position limits on futures contracts in many commodities because futures are illiquid..nobody gives sh#t about owning futures..there are no bids if you do market order of that size in futures. you'll wipeout all bids on the futures market. futures are like options and are 'derivatives' nobody is obligated to be on the other side of the market. you can have the stock market and no futures..futures and stock and options and forex market are separate markets.
wtf you know can't do a 4 billion dollar market order at ES futures who the f#ck has 75,000 contracts of ES futures are leveraged at 10:1 and not for long term investing..futures is a bad investment. futures were meant for daytrading only. now retards are buying futures for investment or having it in their portfolio for hedging etc.
an unheard of financial company or hedge fund with a puny 4 billion value of futures contracts does a market order and shuts down the market and 'investigation'
there are position limits on futures contracts in many commodities because futures are illiquid..nobody gives sh#t about owning futures..there are no bids if you do market order of that size in futures. you'll wipeout all bids on the futures market. futures are like options and are 'derivatives' nobody is obligated to be on the other side of the market. you can have the stock market and no futures..futures and stock and options and forex market are separate markets.
wtf you know can't do a 4 billion dollar market order at ES futures who the f#ck has 75,000 contracts of ES futures are leveraged at 10:1 and not for long term investing..futures is a bad investment. futures were meant for daytrading only. now retards are buying futures for investment or having it in their portfolio for hedging etc.