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From the complaint: 35. According to Consulting Group analysts and the expert, that day, SARAO was active in the E-Mini market on the CME, and contributed to t
by nissimk 11y ago
From the complaint:
35. According to Consulting Group analysts and the expert, that day,
SARAO was active in the E-Mini market on the CME, and contributed to the orderbook
imbalance that the CFTC and the Securities Exchange Commission have
concluded, in a published report, was a cause, among other factors, of the Flash
Crash. Among other activity, SARAO used the dynamic layering technique extensively.
...
36. SARAO's use of the dynamic layering technique was particularly
intense in the hours leading up to the Flash Crash. SARAO used the technique
continuously from 11:17 a.m. until 1:40 p.m.
- tptacek 11y agoHuh. And, from a much earlier source: High frequency trading did not cause the flash crash according to a joint report by the CFTC and the SEC. The staffs of the two agencies concluded that a large fundamental trader's order to quickly sell 75,000 CME S&P 500 mini contracts (with a notional value of over $4 billion) created a "liquidity crisis" in the CME E-Mini futures that caused the price to drop more than 5% in four-and-one-half minutes during the most intense part of the episode.