whats up with ER2?

It was probably a cascading stop situation. YM had two in July.

While many participants choose to have stops away from the market residing on exchange servers, there is little incentive to leave a size bid or offer "live" away from the market. Why work a bid for 500 ES ten handles lower when the only way you're going to get filled is if something bizarre happens as the market trades off 50 points!

Thus at any given time, i.e. all the time, the aggregate number of stops far exceeds the number of limit orders in the book. Don't let the size you see in your "market depth" deceive you, that is only a sample of what is close to the market and thus somewhat "marketable". Further away from the current bid/offer the number of limit orders severely decreases and the number of stops hugely increases.
 
Not sure how you draw the conclusion that I have a chip on my shoulder from this comment but to each his own.

What I meant was maybe there is lots of selling (now and the rest of today) in a volume exhausted advance.


Quote from Avid_Consumer:

nasty. why the chip on your shoulder?

of course they're real orders. question is where to draw the bust line. plenty of trades below 658.20 were 'real' orders too... shit traded down to like 653
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Quote from Pabst:

It was probably a cascading stop situation. YM had two in July.
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yup. I used to see this all the time when the nq was starting out in the late 90's.
 
Quote from Cdntrader:

yup. I used to see this all the time when the nq was starting out in the late 90's.
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Me too. A couple for 50pts or more. I'd think WTF, look at the Q's and they didn't even budge. In fact I remember one post close in June 02. I think it was on ORCL earnings. June shot up 76pts and Sept only about 11. It was a couple of days before rollover and I was long Sept instead of June. Man was I pissed. And then to add insult to injury NQ was off like 40pts the next day, meaning that NQM2 had like a 115pt break in less than 24 hours.
 
I have a .csv file of the tick stream throughout the event. It contains the time and sales, all 5 market depth levels, and the BBO broadcast. PM me and I will send it to you.

I can't come up with any conclusion, but there was a time stamp gap between 12:32:37 and 12:32:56, when the price dropped from 660 to around 653. Incidentally, there was heavy trade volume prior to the "event."

Perhaps someone can offer data between these periods to determine whether this is a data-provider or an exchange-related clip in data dissemination.

Chart of the event:
 

Attachments

busting trades is pretty new to me, so i have a hypothetical question.

assume:

1. i shorted x contracts at 667
2. SAR 2x contracts at 658
3. liquidated x contracts at 666
4. stayed flat

if they busted trades below 658.20, would that then mean that instead of getting flat out of a long at 666 i actually doubled my short position? so instead of being flat, i am short 2x contracts (x at 667 and x at 666)?

thx and take care -

omni
 
Quote from omniscient:

busting trades is pretty new to me, so i have a hypothetical question.

assume:

1. i shorted x contracts at 667
2. SAR 2x contracts at 658
3. liquidated x contracts at 666
4. stayed flat

if they busted trades below 658.20, would that then mean that instead of getting flat out of a long at 666 i actually doubled my short position? so instead of being flat, i am short 2x contracts (x at 667 and x at 666)?

thx and take care -

omni
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Pretty much!
In the equities world one usually hesitates to close off such "gimmees" and take the quick profit - due to the issue you describe above, i.e. the trade gets busted and you end up holding your shorts!

If the stock got hammered and then eventually bounced then thats fine - but if its a 30sec to 1 minute blip like the ER2 - good luck!
 
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