Bust a futures trade?

Discussion in 'Index Futures' started by Trend Fader, Aug 27, 2002.

  1. Is it possible to get an erroneous fill when trading the ES/NQ or the DJ eurostoxx 50? For example, by accidentally placing a limit order way off. Does such a thing ever exist on these pure electronic exchanges?

  2. Yes; but not likely.
  3. spectre


    Happened once to me on the estx50. Think there was a small mention in DJ news sometime early this year or last. Apparently an unnamed institutional trader mistakenly entered a large order for the wrong instrument sending the dax and estx50 down 800+ points. Took about 30-40 mins for the situation to correct itself. The exchange made an unprecedented move and busted all (incld. mkt orders during slide and limits at the bottom) trades in the window 5 mins prior-40 min post slide. Nice considering I could have been on the losing side.
  4. I remember that, but it is very rare in futures, once and a while in equities and multiple times a day for us in options ...
  5. Isn't the ES/NQ and Eurostoxx platform designed for erroneous orders never to get filled. I thought its always best bid and ask regardless if its limit or market??

  6. spectre


    At the time, that was the market reality, and the system probably recognized the trade as legitimate. Given that eurex actually has a no bust policy, the fact that they did cancel all trades is interesting.
  7. bone

    bone ET Sponsor

    There's a "market range" in the Eurex. I know a guy who made $20K last week on a EuroStoxx50 trade. Bought 200 contracts way off the marrket. Seems a European desk really wanted to sell a bunch at market. Was within exchange limits. Eurex busted a DAX trade last winter that was a fat-finger by a desk - it moved the market by 150 points! I've seen the Bund go 50 tics at a whack. Yep, the book just empties out and a bunch of volume was done. Happened twice in about 30 minutes in 1997. Our clearing bank told us later that George Soros came in and did 100K cars. I was at the receiving end of a Schatz trade in 1998 where the market moved 30 tics on a 50K car market order. Yes, you will occasionally see some very pronounced spikes at Eurex where a trade was done at market. Pure pucker factor.

    I have some workmates who trade Globex currencies. Everything done away from the market price is taken to arbitration - either by the person at the desk who did the fat-finger mistake, or by a disgruntled local who didn't get a piece of the action. It's killed the market because nobody will bother to load up the book, and institutions who have customers who want in or out with significant volume at the market can't get it done. Amazing - a desk will tell the CME that it's OK, their customer WANTS THE FILL, THEY NEED THEM, THEY ALREADY CALLED THEIR CUSTOMER WITH THE FILL, but the Merc says nope, gotta bust the trade. What dipshits. They're taking away the very reason for a market to begin with.