ES Sep 2001 contract on Sep 11, 2001 (08h30 - 09h30 EST)

Discussion in 'Index Futures' started by abattia, Jan 23, 2013.

  1. I'm coding some custom order management / handling for unattended automated ES trading during Globex hours (by which I mean between specifically 16h30 -> 09h30 EST... so it's "unattended" because I hope to be asleep for much of that time!).

    My biggest concern is an unwanted fill during an exceptionally large and sudden move arising from a market shock during these hours (i.e. ES is much less liquid than during regular trading hours, so sudden moves can be bigger and faster).

    I'd be very interested to review a tick data chart for the ES Sep 2001 contract for the hour from 08h30 - 09h30 EST on Sep 11, 2001. I am told this period represents an empirical example of an "as-bad-as-it-can-get" situation in the ES, in terms of sudden, large moves. But I wasn't trading at the time, and don't have this data.

    Is there anyone who can post a chart?
    Or even post the tick data for this time period?

  2. mm19


    from memory was not that bad. News was so ubelievable that market move was smooth although large. flash crash was worse.

    You better worry about scenario like when CHF pegged and price moved 10% within a minute, likely you would get executed at worst possible price.
  3. nitrene


  4. Many thanks, for chart and link.
    The posted 1-min chart shows ES dropping 25+ points over approx two minutes after “08:03 CST”, and then trading nearly 30 more mins before the limit down.
    I wonder if (with the increased prevalence of algos/HFT today) a move like that would be quicker and larger in 2013? Probably …

    ... perhaps, as mm19 wrote above, flash crash (which was during regular trading hours) is a better pointer to what might happen today in a large out of hours shock ...