FlashCrash Report

Discussion in 'Prop Firms' started by Don Bright, Oct 1, 2010.

  1. For those interested in the whole report.



  2. Thanks Don.

    Conclusion: screen trading without market makers that are required to provide liquidity is, and will be in the future, subject to flash crashes.

    I knew that already, I wonder why the exchange officials did not.
  3. Maverick74


    Are you saying someone should have been bidding for those 500k e-mini-s that Waddell Reed was selling?
  4. What ultimate, specific, effective results traders and investors are really interested in seeing actually implemented:

    (From the SEC Press Release regarding the May 6, 2010 Market Crash joint report):

    "... SEC Chairman Mary L. Schapiro and CFTC Chairman Gary Gensler issued the following statement in connection with the report:

    'We appreciate the incredible effort of all the professionals at both agencies who have worked tirelessly, scouring the data, interviewing market participants and reconstructing the events of May 6th. This report identifies what happened and reaffirms the importance of a number of the actions we have taken since that day. We now must consider what other investor-focused measures are needed to ensure that our markets are fair, efficient and resilient, now and for years to come.'"

  5. Well, anyone who is trying to manipualte the market with a position that roughly requires $2 Billion margin would think twice if market makers are around. If that was a mistake market makers would have caught it. Screen trading is in trouble. They tried to blame HFT but the root of the problem is the market structure itself.
  6. Agree. Simply too fast and furious.
  7. SEC rules require that the exchanges and FINRA provide timely and accurate data to the CTS and CQS systems to inform all participants of the trading and quoting activities occurring in the market place.


    Between 2:45 p.m. and 2:50 p.m., NYSE transactions in the 1665 Symbols had average delays to the CTS of over five seconds (with some delays lasting as long as 35 seconds) and average delays through one of its proprietary data products of over seven seconds.


    So... what's the punishment for that?
  8. Pekelo


    Is it just me who thinks this report is total bullshit??


    "“Detailed analysis of trade and order data revealed that one large internalizer (as a seller) and one large market maker (as a buyer) were party to over 50 per cent of the share volume of broken trades, and for more than half of this volume they were counterparties to each other (i.e., 25 per cent of the broken trade share volume was between this particular seller and buyer).” "

    They never named these 2 entities.

    Also, HFT:

    "And many firms will generate 90 or more orders for each executed trade. Stated another way: a firm that trades one million times per day may submit 90 million or more orders that are cancelled.”

    One week before May 6th there was a "trial run" when for a few minutes the same thing happened...

    Not to mention blaming the Kansas mutual fund is total BS:

    " In other words, the government investigators are suggesting that a trade that represented 1 per cent of the day’s volume in a futures contract in Chicago and less than 5 per cent of contracts traded in the pivotal 1 to 2 p.m. time frame in Chicago (2 to 3 p.m. in New York) caused stocks in the cash market to plunge to a penny."

    Not to mention looking at seconds data is worthless when you should look at miliseconds:

    "Mr. Hunsader said that he believed the report to be “riddled with inconsistencies, makes conclusions without supporting evidence, and wastes precious time on illustrations that end up telling us nothing we didn't already know. Looking for the cause of the xFlash Crash using one-minute snapshot data is like trying to find the Higgs boson with a 10x microscope.” Mr. Hunsader goes on to note the “NYSE's admission of the delay we discovered in June; however, the executive summary tells us regarding this delay: ‘Our findings indicate that none of these factors played a dominant role on May 6.’"
  9. "Looking for the cause of the xFlash Crash using one-minute snapshot data is like trying to find the Higgs boson with a 10x microscope."

    They reserve the atomic force and quantum tunneling microscopes for retail trader violation forensics (that and currency counterfeiting).:D
    #10     Oct 7, 2010