Globex Stop Logic Enhancement

P

paradox

http://www.cme.com/files/StopLogicClientImpactFinalPR.pdf

The purpose of this document is to introduce the new GLOBEX Stop Order Logic
functionality and describe the impact to CME customers. This new functionality has been
implemented to prevent market spikes that can occasionally occur due to the continuous
triggering, election and trading of Stop Orders.
With this new logic, if traded prices exceed the predefined trade thresholds, the market will
be put into a reserved state, which accepts orders but does not allow any trades to take place.
Market Data 2.01 customers will see dissemination of the MG messages (Instrument Status),
with the Instrument State set to “AR” to indicate that the market has been put into a reserved
state. The M8 message (Theoretical Opening Price) reflects the calculated opening price
while the instrument is in a reserved state, as well as when it reopens. Current Market Data
2.0 customers that parse, utilize, and incorporate the information from the MG and M8
messages into their order entry applications will not have to make any programming changes.
The new Stop Order Logic is initially being implemented for GLOBEX Equity and Currency
products. This functionality will be enabled for other GLOBEX products in a subsequent
phase.
 
So it seems the market will pause until the book is refilled with bids and offers. Some 'accidental' fat finger wont be able to rip through 100 levels of stops before anyone can react to it. This should put a halt to the games that have been going on during thin markets.
 
Games? Just honest mistakes made in the heat of battle.

Hey, I once bought some shares of a $20 stock for a penny each because instead of bidding 1 cent they offered at 1 cent. heh.

That's like saying they buy mutual funds well after the market closes. Now how impossible is that.
 
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