what f*ck just happened

Quote from tatertrader:



You realize that 10,000 contracts is half a billion dollars BP to throw out there on the hope that the trade is broken? Also, following your logic.....one would also need significant additional BP to place the other "half" of the trade.......where the illicit profit is actually realized...also with the hope that it is NOT broken......

Billion dollars BP on a scam that any rube can see.

Yep - makes perfect sense to me now.......

:D
More...


errr... calculating intraday margins you will need 2x $15M for
the trade. Any hedge fund should be able to put this up.

Nobody calculates the nominal futures value for intraday
trading... If I did, maybe I could impress some girls with
the value I bot + sold last week; but that's all
 
also, please consider that the YM order was entered
by a futures commission merch. It was probably only
a single guy there who risked only his job and no own
capital at all. The ES side was taken by another firm not
obviously linked to that merch.
 
http://www.cmerulebook.com/cmewg/wg.dll?page&file=c5

Chapter 5 is the relevant section in the CME rulebook on busted trades. Essentially 6 handles is the S&P No Bust zone. A spike beyond that can be busted. Ususally this is done when cascading stops are triggered by some glitch, but spikes caused by news are allowed to stand.

See section -
CME GLOBEX ERROR TRADE POLICY

"Exchange staff will review the circumstances surrounding the transaction to determine whether the trade should be busted.  The factors that may be considered by the panel include:  the market conditions immediately before and after the trade occurred; the volatility of the market; the prices of related instruments in other markets; whether one or more parties to the trade believe the trade was made at a valid price; and any other factors that the panel deems relevant.  The panel shall make its decision as promptly as practicable.  The decision of the panel is final."

GLOBEX Error Trade Tick Range List-
This tells you the no bust zone is 6 handles for the S&P.

This policy means that almost all of you (and me too) should not attempt to trade these spikes unless a spike caused by an FOMC annoucement or something like that.

Should you successfully trade such a spike, merely covering your trade may not be enough. You need to hedge against the possibility that your covering trade will be busted leaving you net short. You will have to go extra long, adding a position as the market climbs near the no bust range.
 
Quote from StockApprentice:




Well, I use IB and I lost all of my quotes for a few minutes. That includes futures, stocks, and options.

Also, I just want to add, that the only way to avoid such insane market swings is to NOT pamper the guy who is the cause. If you pamper him and bust his trades then what incentive does he have to make certain that it never happens again?
More...

My ES and NQ quotes on IB were way behind Qcharts (for a change). At the NYSE close today IB's quotes were also very slow.

I agree...don't "pamper the guy who is the cause." I don't think any trades should be busted. Then there's no guessing after a big move. I've always felt this way, but I did get filled on a resting ES buy at 977.25 on a 1 lot.

If I make a mistake, I eat it. Why do the size orders that are in error get busted? I don't think it's a level playing field when some orders get busted and some don't.
 
Obviously the exchanges get paid money (through commissions for orders through their systems). What I don't understand is whether this can be a big conflict of interest by both "creating a free electronic market" and gaining profit from commissions. This sets up a scenerio where a large company that does a lot of volume through the exchange has a financial upperhand in getting the exchange to break a bad trade based on THEIR OWN ERROR (The firm that placed the order).

Furthermore, there are other people who are reacting to that swing -- as well as a lot of computers.

Are they going to bust the trades when something like this happens at just the right time when the market has just the right harmonics to dive down in a full crash?

Whatabout the costs that have to be eaten by Joe S. who had his positions liquidated because all his stops were hit.

It starts in YM then quickly goes to ES. Obviously YM wouldn't probably be the first place somebody would use if major news hit. That in itself may have been a small clue that it was an error (in contract to making the trade with ES futures).

Since all the markets are connected, you just can't have one exchange break trades while another says, "Well you know it wasn't us and we were only 1/2'th as affected -- so even through the quotes were a result of a major error, its still a FREE market, right?"

There should be a system that runs all the time that doesn't allow for busting of this magnitude. If someone's system made a mistake, why should all the other participants be liable for their FU?

If its a free market, great -- but trading is already immensely hard as it is. Random 5-10% spikes in the market every 6 months that initially stand for hours only to get busted later because of some person's screw up is BS.
 
Quote from saschabr:

also, please consider that the YM order was entered
by a futures commission merch. It was probably only
a single guy there who risked only his job and no own
capital at all. The ES side was taken by another firm not
obviously linked to that merch.
More...

....And a prison term....... and......c'mon?

I can only think of one one guy who might actually belive he could pull off such a clumsy crime, but when he's not hittin a little white ball around the links in FL he's busy searching for the "real killers"


:D :D
 
Quote from chisel:


I've always felt this way, but I did get filled on a resting ES buy at 977.25 on a 1 lot.
More...

I forgot about the 4 ES I was long that was stopped out at 980.25 on the way down! :(

I still think that no trades should ever be busted.
 
Quote from tatertrader:



....And a prison term....... and......c'mon?


:D :D
More...

did anybody go to prison by enter an extra zero or two "by mistake!!!...".
 
The idea of busting trades at all gives member firms a free roll. Trades that win suddenly were intentional rather than errors.

Only thing that keeps customers rather than firms from doing this is credit risk controls. Same reason casinos don't let you call out bets on a craps table without money in hand.

Traveler
 
For whomever asked earlier in this thread...my Qcharts feed and Jtrader feed both were accurate throughout the move down and up...didnt notice significant delay or out of synching...kinda amazing that Qcharts was able to handle this considering...its probably only because I was Not in a trade..had I been in, Qcharts wouldve exploded my entire computer on a move like this I'm sure :)

Happy 4th to all, and what a great story this will be to write about in a few years when it happens again..."just like that Black 4th of July of '03"

Peace
 
You must log in or register to reply here.
Back
Top