Waddell & Reed
Submitted by Tyler Durden on
12/21/2012 - 18:55
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.
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