Discussion in 'Order Execution' started by ZBEAR, Feb 14, 2003.

  1. ZBEAR


    The A/C/E exchange will be busting all trades above 7876.00 in the mini Dow
    This only affects trades filled between 2:15pm to 2:25pm CST
    on February 14, 2003.

    "What's Going On" with all these SPIKES ?
    Today it's the CBOT / DOWs turn.

    S&P Emini Spike was Busted last week.
    Nasdaq Emini Spike yesterday was Not Busted.
    DOW Emini spike today was Busted.

  2. monee


    Anyone have experience with how long it takes broker to get back to you that the trade was busted?
  3. Just got the IB message. I'm pooched for 2 long cars and maybe 300 points. Don't know for sure, used market orders in and out and I don't want to look at my account. I was short in the ES incident on CSCO earnings and somebody said there was one on the NQ recently.

    There was a thread on the ES incident here - "Whoa baby..." No real answers released. Haven't heard what CBOT says about today.

    Maybe the FBI needs to offer to help the exchanges with their research into these mistakes.

    That one today looked like nearly 200 points. Not comforting to a small trader, this strange business.

  4. bone

    bone ET Sponsor

    You guys need to learn what the exchange rules are for allowable market orders, and bid or offer just inside of them. I've had trades busted, too. I have talked to exchange compliance personnel, verified what part of "spike" ranges will be allowed, and have adjusted accordingly.
  5. Exactly. To be honest you should be totally familiar with all exchange rules pertaining to out-trades, delivery, market closure etc - anything that could affect your risk exposure.

    There is probably a negative edge to bidding or offering outside the allowable price bands - if you are right and it is just a meaningless spike, the trades get busted; if you are wrong and the move is genuine, your position stands and you are stuck with a potentially large loser.

    Also if you get filled on a crazily low or high price and the market bounces back, you should not exit your trades until you get official confimation from the exchange that the trades will stand - otherwise you are heavily exposed if your entry leg gets busted.
  6. I've said it before and I'll say it again, if there is a known algorithm to determine which trades will be busted, why are orders executed in the first place?
  7. this is a very good point
  8. But it's only the tip of the iceberg. It would be so simple to implement such a procedure that there must be a reason for the exchanges and ECNs not to do it. I think we all know what that reason is.
  9. Speaks loudly of the need for the coupling of electronic markets to the pit. Long live the pit!
    #10     Sep 14, 2003