CME -7% circuit breaker didn't work ?

Discussion in 'Index Futures' started by TickSeeker, Mar 19, 2020.

  1. Yesterday 2020-03-18 CME Daily Limits page said we have a -7% limit in NQ futures @ 6914,75 (in my own calculations too) but market still traded lower with no halt.

    [​IMG]

    So what is the problem or is it something I don't understand right ?
     
  2. d08

    d08

  3. The point is in US-Session (CT) where this -7% limit should be active.

    The chart is in UTC+2 but we don't have DST yet so the difference is only -7 hours.

    So this shouldn't be a timezone issue.
     
  4. The same chart in CT (+/-1)

    [​IMG]
     
    Last edited: Mar 19, 2020
  5. Here is a copy of the numbers from Daily Limits Page (2020-03-18)

    E-mini Nasdaq-100 Futures (NQM0)
    743775
    781125 / 706425
    691475 <----------------- -7%
    646625
    594300
     
    Last edited: Mar 19, 2020
  6. comagnum

    comagnum

    The breaker should have triggered this evening in the ETH - price was free falling and magically reversed precisely at the limit down price - obvious manipulation.
     
    Onra and Scanman like this.
  7. Are they loosing too much commission and decided not to honor these limits o_O

    Maybe there is some new rules we are not aware of ?
     
  8. southall

    southall

    Not really, if you want to buy playing a for a bounce then thats a good place to put in your buy orders.
     
    TooEffingOld likes this.
  9. southall

    southall

    Theres another thread on ET that says the price is based on the VWAP not the closing price
     
  10. Yes, VWAP in the last 30 sec of reg trading hrs. In that thread you mentioned:
    Did the overnight limit change?
    I copied yesterday's limits, pasted here for ease of reading:

    [​IMG]

    So, what @TickSeeker noticed with NQ, also happened with ES (but I won't post any screenshots).

    I don't really understand the entirety of it, but here're the rules for ES:
    https://www.cmegroup.com/trading/equity-index/faq-sp-500-price-limits.html

    So, because NDX and SPX hit their 7% limit (crazily at about the same time) (at approx noon Chicago time), then the futures were halted too, but, and I never noticed this before, the halt doesn't seem to be shown in the futures charts in some software packages!! The halt is a horizontal line in ndx/spx, but in nq/es the data is just missing in TOS (but it does show as a flat line in IB's TWS).

    And after that, the 13% limit is the new limit. Bingo.

    Note, I haven't dissected the logic of that page, but at first glance I can't see why they even have the futures limits if they're never triggered unless the underlying is triggered first (which has it's own limit).

    I eagerly await clarification by one of the ET futures gods....


     
    #10     Mar 19, 2020