someone got carted in the bobl today

FDAXHunter · Post by **FDAXHunter** » Wed Dec 29, 2004 12:54 pm

I don't think it was fat-fingers... I think it was intentional.

AndyM · Post by **AndyM** » Wed Dec 29, 2004 1:01 pm

Fdax, what do you base your suspicion on?

FDAXHunter · Post by **FDAXHunter** » Wed Dec 29, 2004 1:05 pm

Based on the incident of November 20th 2001, Eurex introduced size-limitations for Market and stop orders. You cannot sell more than 2,000 FGBM per order, you would have to launch multiple orders. Third party software like Ecco or TT (or RTS, whatever) will not let you launch that much anyway. Also, it's pretty much impossible to make the mistake of launching an order twice (too many steps).

So that leaves 2 possibilites: Intention (my thought) or a bug in an automated system.

Also the fact that the trades didn't get busted is a heavy indication of an intention to trade (no matter how much money they left on the table) because normally the span for mistrades in the Bobl is like 30 ticks.

AndyM · Post by **AndyM** » Wed Dec 29, 2004 1:08 pm

Echoes of GL 'Instant Sell', perhaps Confused

My (casual) impression is that Eurex has very little tolerance for that sort of manipulation these days? What are your thoughts on this?

(If I'm ever on WWTBAM and get a question on Eurex, I know who I'm going to call Smiley )

FDAXHunter · Post by **FDAXHunter** » Wed Dec 29, 2004 1:21 pm

Eurex has made it so that technically, if you are using their system, you really can't fat-finger the market in such a way.

Eurex has indeed little tolerance of any games that are being played in it's market (especially of the kind that cause disorderly markets). If somebody was just gunning for it, I'm sure that was the last time that somebody did that.

We shouldn't really discount the possibility that somebody just wanted to sell. Particularly in the Bobl I've seen trades like that several times where someone just sold massive amounts over a short period of time (like 25,000 contracts at market). The reason it got beat up so badly yesterday, because nobody's trading this thing at the moment. Normally the market would have been able to absorb this with, say 20 ticks. But yesterday's trade represented >10% of the days volume. Somebody just isn't careful with their size, me thinks. This time the bill is a bit higher Smiley

ComteZero · Post by **ComteZero** » Wed Dec 29, 2004 2:02 pm

AFAIK, size was 10K contracts in very thin market. Stops made another part of work.

James · Post by **James** » Wed Dec 29, 2004 3:51 pm

thanks for the illuminating conversation. please post links to follow-up articles. i am curious. thnxs^2.

FDAXHunter · Post by **FDAXHunter** » Wed Dec 29, 2004 4:04 pm

[b]ComteZero:[/b] [i]AFAIK, size was 10K contracts in very thin market. Stops made another part of work.[/i]

I have it on good authority that it was all in stops. No market orders.

AndyM · Post by **AndyM** » Thu Dec 30, 2004 1:03 am

LOL! A (slightly more modest) reprise in the Gilt today...

FDAXHunter · Post by **FDAXHunter** » Thu Dec 30, 2004 10:18 am

ROFL.. I bet that was the same actor, too. Both stops went off below the 13 day low. I wonder if that somebody is on vacation and doesn't even realize his orders are launching into the holidays?