E-Mini Flash Crash

[whipsaw]

How 10,000 Contracts Crashed The Market: A Visual Deconstruction Of Last Night's E-Mini Flash Crash

 

 

On December 20, 2012, there was an Event in the eMini futures at 20:18:40 ET. The data exhibits many hallmarks of a HFT (High Frequency Trader) market maker absorbing sell orders up to their limit, and then turning around and dumping those contracts as fast as possible. Exactly what happened in the Flash Crash on May 6, 2010 (this documentary on youtube has a great explanation). Only in this case, the original seller appears to be much more aggressive than Waddell & Reed's algorithm. The drop came in 2 seconds, and halted trading for 10 seconds. The flash crash halted eMini trading for just 5 seconds. A mere 10,000 contracts (or $700mm notional) was enough to do all that damage - enjoy.

 

Das genannte Video [ Backlight - Money and Speed: Inside The Black Box [ENGLISH] habe ich mal eingebunden:

 

Beschreibung: Money & Speed: Inside the Black Box is a true thriller that takes us to the heart of our automated financial world. On the basis of interviews with people directly involved and data visualizations to the millisecond, a reconstruction of the fastest and deepest drop in U.S. stock markets ever.

 

 

 

http://www.zerohedge.com/news/2012-12-21/how-10000-contracts-crashed-market-visual-deconstruction-last-nights-e-mini-flash-cr