Whoa Baby! What happened?
- Thread starter abishiai
- Start date
If it was one bad trader, it's not CME's fault.
If it was just market conditions, it's not CME's fault. (See how nice they are by canceling all those 'bad' trades.)
WHATEVER it was it DEFINITELY wasn't caused by their technology. And, even if it was, it still would be their fault!
"Thee protesteth too much." Shakespeare
kp
If it was just market conditions, it's not CME's fault. (See how nice they are by canceling all those 'bad' trades.)
WHATEVER it was it DEFINITELY wasn't caused by their technology. And, even if it was, it still would be their fault!
"Thee protesteth too much." Shakespeare
kp
"Confluence of events" might be correct.
If you look at the charts, it was setting up for a big squeeze. The 8,000 contracts which traded in that one minute bar does happen from time to time when the cash is open; it's not an unheard-of volume, neither was the volume in the bars preceeding the one in question. Volume was heavy at that time. However, normally, an 8,000 contract 1 min bar, doesn't result in 100 point moves. The depth was thin, people were wrapping things up, and the orders just chewed through the book until they found stop buy orders which cascaded and immediately triggered everything in sight.
Can someone tell me why you'd put stop buy orders (good til cancelled apparently) so far outside of the market, just resting there???? Swing traders? Who would do that?
I presume the arbs were working the differential which is why ES eventually came down so quickly, but 14 seconds is just too fast for the arbs to react to, but it is plenty of time for electronic execution to drive the market to the moon.
Probably alot of buy orders in anticipation of CISCO but without the usual depth on the sell side due to the impending market close.
Maybe the CME could introduce an dampening function which would prevent a bunch of similar orders from instantaneously shooting the market straight up- kind of like an order imbalance detector. (Since the person entering such an order would be the one to get burned, that would put a brake on such an undertaking.) But if the Chinese wanted to mess around with our financial systems, maybe this is a way.
If you look at the charts, it was setting up for a big squeeze. The 8,000 contracts which traded in that one minute bar does happen from time to time when the cash is open; it's not an unheard-of volume, neither was the volume in the bars preceeding the one in question. Volume was heavy at that time. However, normally, an 8,000 contract 1 min bar, doesn't result in 100 point moves. The depth was thin, people were wrapping things up, and the orders just chewed through the book until they found stop buy orders which cascaded and immediately triggered everything in sight.
Can someone tell me why you'd put stop buy orders (good til cancelled apparently) so far outside of the market, just resting there???? Swing traders? Who would do that?
I presume the arbs were working the differential which is why ES eventually came down so quickly, but 14 seconds is just too fast for the arbs to react to, but it is plenty of time for electronic execution to drive the market to the moon.
Probably alot of buy orders in anticipation of CISCO but without the usual depth on the sell side due to the impending market close.
Maybe the CME could introduce an dampening function which would prevent a bunch of similar orders from instantaneously shooting the market straight up- kind of like an order imbalance detector. (Since the person entering such an order would be the one to get burned, that would put a brake on such an undertaking.) But if the Chinese wanted to mess around with our financial systems, maybe this is a way.
If I were to put my tin-foil hat on and guess at a conspiracy theory - I would say that it had to be someone who had access to Globex and who could see where all of the distant stops were for swing traders/hedgefunds.
1.) It could have been a large trader with the idea of running the stops on thin liquidity.
2.) It could have been pit members trying to run the stops and discredit the Emini market as a place where swing and position traders can find an orderly market.
Since most of the CME's income growth is coming from the electronic markets - they make (roughly) 5 times as much in fees from the Emini vs. the pit contract - this could be sabotage from the pit to scare traditional users of the pit product from switching to the emini. Good news for the pit traders but bad news for the CME and their fee revenue.
Is this the start of a war between the pit and CME corporate?
Stay tooned.
1.) It could have been a large trader with the idea of running the stops on thin liquidity.
2.) It could have been pit members trying to run the stops and discredit the Emini market as a place where swing and position traders can find an orderly market.
Since most of the CME's income growth is coming from the electronic markets - they make (roughly) 5 times as much in fees from the Emini vs. the pit contract - this could be sabotage from the pit to scare traditional users of the pit product from switching to the emini. Good news for the pit traders but bad news for the CME and their fee revenue.
Is this the start of a war between the pit and CME corporate?
Stay tooned.
