Market Volatility and Rithmic’s Paper Trading Systems

Discussion in 'Announcements' started by jjw, Feb 28, 2020.

  1. jjw

    jjw ET Sponsor

    The past 2 weeks have been witness to extraordinary trading volatility in the futures and equities markets. Market data message rates for CME equity indexes (which include MES, MNQ, NQ, M2K and RTY) excluding ES, increased 25% from Friday, February 21, 2020 to Monday, February 24, 2020 and then doubled from Monday to Thursday. Rithmic received isolated reports on Thursday from end users of its paper trading systems questioning the prices at which their stops were triggered and their orders were filled by Rithmic’s exchange simulator and why auto-liquidation events were triggered. Rithmic investigated these reports and within 24 hours, put in place enhancements to its systems to handle an even greater number of market data messages and orders within the cpu and network resources available to its programs. As soon as these enhancements were in place, new reports questioning fill and stop prices and auto liquidation events ceased.