Algo firm that blew up in 2003

Discussion in 'Automated Trading' started by ogarbitrage, Jul 13, 2011.

  1. Anyone know who this was?

    Page 5 on

    Cited to: Andreas Preuss, 2007, Eurex CEO’s comments from Exchanges—The CEO Perspective panel, Futures Industry Association Expo 2007, Chicago, November 27.

    I cannot find a record of these comments anywhere.
  2. Considering the circumstance, it might not be surprising if this person is referred to in the past tense.:p
  3. bidask


  4. the1


    Why doesn't the market ever go the right way when shit like this happens? Just the other day I hit "buy" when I meant to hit "sell." Guess which way the market went? Of course.
  5. :D :D :D
  6. I can't recall the name, but it was something like a $20MM debit, so it escaped the wires. I am sure they are named in some article, but I can't find it.
  7. bone

    bone ET Sponsor

    Great find, thanks for the link.

    More recently there was a Chicago firm who shit the sheets with a Nymex WTI 'lead-lag' strategy - although those losses were survivable given the firm's capitalization. Trader switched on a freshly minted strategy in a super-thin market just a few minutes before the close.
  8. Good old Infinium.
  9. bone

    bone ET Sponsor

    Being located in Chicago I did not want to name names.
  10. I remember a junior trader calling me about the put options he shorted and the price he got for the contracts. I told them that price makes no sense and to double check things. (the price he quoted was the ask)

    Anyhow 5 minutes later he calls and told me he went long in error and wanted to know how to get out of this trade.

    I went by and he was paper white. He went long a large number of contracts, it took all day to unwind that position. And of course the vix was dropping and markets were going up that day.

    It was a manageable loss and took a lot of work hedging and unwinding but it could have gone wrong real bad.
    #10     Jul 14, 2011