2 ms·
The recommendations miss the most obvious fix: http://en.wikipedia.org/wiki/May_6,_2010_Flash_Crash#Circuit_breakers http://en.wikipedia.org/wiki/May_6,_2010_Fl
by zmmz 16y ago
The recommendations miss the most obvious fix:
http://en.wikipedia.org/wiki/May_6,_2010_Flash_Crash#Circuit_breakers http://en.wikipedia.org/wiki/May_6,_2010_Flash_Crash#Circuit...
These things have been working fine and dandy across Europe for several years, where such a situation would not happen.
For the Eurex implementation see here: http://is.gd/d2f1Y http://is.gd/d2f1Y [link to google quick view of the pdf]
- jazzdev 16y agoFixing the quotes to be timestamped properly seems to be a much simpler fix than relying on additional circuit breaker logic.
- zmmz 16y agoWhile time stamping solves the problem of inconsistent quotes, it does not do anything against bogus trades or somebody accidentally adding an extra 0 when typing in their data. A circuit breaker would prevent the absolute free-fall that happened during the flash crash. At that stage, nobody knew what the "real" price of a stock was and everybody was guessing, the algos could not handle the situation. If a circuit breaker was triggered, it would lead to a trading halt on the stock and an auction to set the price. Time stamping quotes solves system errors, but not mistrades or market panic.