Dec

27

 Has anyone analyzed these two moves:

Swiss Franc - 1/15/15 (Abrupt stance on decoupling from Euro) Pound - 10/6/16 (sterling flash crash)

I don't trade Swiss Franc Futures, but I do trade Pound Futures at times. (CME FX futures products, front month)

My question that I'm trying to get answered is what would a 50 or 100 lot Stop Loss look like as far as fill? Would it have even been filled? I'm typically using about 50 tick stop losses on those products, so if I placed the stop would I have been filled at a decent price.

Any insight would be appreciated.

Thank you

Jeff Watson writes: 

It would look like a very nice morsel to those hunter gatherers who trade the Swissie. 

John Netto replies: 

Call the Globex control center. What you're asking actually pertains to a banding issue and is something that can be a real factor in a fast market.

Jonathan Bower writes: 

I used to trade most CBOT/CME/ICE products using stops for entries and exits for a decent sized fund. Typically I would stagger the order with slightly different entry points with varying limits, typically a 5 to 10 tick backruns. But when we knew energy reports or economic releases were coming out those back runs would be extended and we'd drop a few of the limits on some portion of the order to guarantee to get some chunk executed.

All that to say is there were times in pretty much all markets, but especially energies, where it could move 100-200 ticks in a blink of an eye and I'd have partial and no fills on lots of orders. So very big slippage events. We found that most of the time that was actually preferable because the market would typically come back to original levels.

However, sometimes you would just know that you should puke and do so quickly…

When I filled orders on the CBOT floor we always told our customers to expect to get filled at the high or low tick… It was probably 50/50 to be the case in the pits. I'd say it's 80/20 now if you use a stop market.

anonymous writes:

There are horror stories about Swiss Franc stops, hundreds, hundreds of ticks away getting filled. I think any speculation about how you will get filled on your stops is just banter. Lets say the next 'black-swan' event is a malicious program inside the CME data center placed by CN hackers. You could have a situation 50x swiss franc debacle. You cant beat nanosecond market making with stops so the only solution is to broaden your risk and time horizon or accept the risks associated with leverage and short-termism. 


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  1. Former Speclister on December 27, 2018 9:37 am

    To look at market microstructure, I suggest using Vertex Analytics. It’s a professional tool so not cheap but reasonable for what you get.

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