It would be interesting to know which broker and clearing house accepted an order to sell 75,000 emini sp in apparently some sort of staged (GMTFO) market order that lead to the 5/6 event. 10% slippage I guess was acceptable, and had it been in just one stock no one would have noticed, but to move a whole market is different. The order only represented 3% of the daily volume. I wonder had it been placed closer to the more liquid open would it have had the same affect. Or did someone come back from lunch, see the market down 1% or so on a $10b fund, and have a change or heart. I don't think the HFT boys made on this, many smaller players margined out at the lows, brokers made their commission, customer filled his order, but hard to find much of a conspiracy other than a sloppy trade and a sloppy execution.

Vince Fulco writes:

The official line was it was a staged order supposed to make prints along with ~9% of the volume. Either we have extremely sophisticated HFT sniffers in our midst in ES or someone has a fat mouth. Once WR's actions were known, it was just a matter of other parties getting ahead thereby turning it into a 1987 portfolio insurance like scenario, the lower it goes the faster WR needed to sell. 


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