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This really isn't what caused the flash crash. The SEC either doesn't have a complete understanding of what happened, or is omitting swaths of data from their r
by nomurrcy 16y ago
This really isn't what caused the flash crash. The SEC either doesn't have a complete understanding of what happened, or is omitting swaths of data from their report. Nanex did a much better job writing this all up, and weeks before the SEC published their report.
http://www.nanex.net/FlashCrashFinal/FlashCrashSummary.html http://www.nanex.net/FlashCrashFinal/FlashCrashSummary.html
- nomurrcy 16y agoTo further clarify: 75,000 e-mini contracts is not an astronomical amount. Orders of this size are not uncommon. To really understand what happened one must answer the question: what are the market conditions we have created such that a normal sized order can cause such a dislocation? A lot of this has to do with the practices of the HFT 'liquidity providers.' This is a complex topic, but the flash crash demonstrated what a lot of people have been saying for years: volume != liquidity, the HFT shops generate volume, not liquidity and engage in some practices (quote-stuffing, sub-pennying etc) which serve to systemically destabilize the markets. (and overload the market infrastructure)
- vecter 16y agoJust a minor point, but I've never seen a 75,000 lot rip through ES in one order.
- nomurrcy 16y agoNo body just dumps all 75,000 in one transaction. The order is filled over a period of time. W/R didn't dump either, actually further analysis shows that they sold the majority of their contracts after the crash http://www.zerohedge.com/article/refuting-secs-lies-core-flash-crash-analysis http://www.zerohedge.com/article/refuting-secs-lies-core-fla... The blog here is zerohedge, but the data is from nanex.