"Between 11:03 and 11:04 CT today, there were a series of transactions in ESH0 in which a market participant appears to have inadvertently traded approximately 200,000 contracts as both buyer and seller. CME maintains trade practice and risk management rules and procedures respecting such matters. In keeping with standard practices and CME's self-regulatory responsibilities, CME is reviewing the circumstances of this event."
Yes indeed......so WHO was doing the "talking" with the CME??? I would sure like to know how the CME Globex let someone make the market with themselves for a 200K run of orders.....hmmmm??? :eek:
oops, I misread the posts and thought it was a 2 huge block trades... guess not! if this really is an algo, it will just fuel the fire for more regulation of HFT.
Algo shops often have different 'strategies' running simulltaneously so I would guess what has happened is that strategy A within a firm has traded with strategy B, say, within the same firm. A worse situation would be if A was offering 1137.25 and B bidding 1137.5 and some other algo was picking them off for the 0.25 arb, sounds like this wasn't the case here. I guess the damage in this case is limited to the transaction cost (clearing?!) on 200k plus a slap on the wrist from CME, which is probably a limited fine since they will want to keep their business.