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This is a discussion on Computer Madness within the General Trading Chat forums, part of the Reception category; Welcome to computerized trading Brainless Computerized Trading … | Riding the DAX Have you seen the "Bund Crash" today??? How ...

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Old Mar 28, 2008, 12:57pm   #1
 
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Computer Madness

Welcome to computerized trading

Brainless Computerized Trading … | Riding the DAX

Have you seen the "Bund Crash" today???

How crazy and how different from times I traded on the floor.

So always take care, where you put your stops
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Old Mar 28, 2008, 1:54pm   #2
 
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This on bloomberg . . .

BUNDS: Some talk doing rounds that Eurex are investigating the sellof
in June Bund futures, and rumour it may bust trades below 115.13 --
traded between 12:17.39CET to 12:41CET. Also under investigation are
trades in Bobl contract after 12:17.39CET to 12:41CET, add traders.
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Old Mar 28, 2008, 1:56pm   #3
 
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in discussion in bund thread... Eurex have let the trades stand it would seem.

(Story: nL2813590 on retuers)
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Old Mar 28, 2008, 2:01pm   #4
 
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DaxDestroyer started this thread If trades stand, this would be proof, that the world is going nuts
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Old Mar 28, 2008, 2:22pm   #5
 
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Our head of bund trading just confirmed to me that all trades stand.
He heard it was a fat-finger trade of around 11,500 that set off stops.
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Old Mar 28, 2008, 2:35pm   #6
 
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Quote:
Originally Posted by A Dashing Blade View Post
Our head of bund trading just confirmed to me that all trades stand.
He heard it was a fat-finger trade of around 11,500 that set off stops.
YEs ...

Decision on FGBL Vola interrupt

28.03.2008 13:53 1


Eurex Management decided the following:

ALL trades in FGBL which were under investigation will stand.
No trades will be reversed

For further inquiries please address to eurextrading@eurexchange.com
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Old Mar 28, 2008, 4:51pm   #7
 
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Anyone heard who it was yet? If we can get a liquidation of various positions coming into the close could be interesting.
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Old Mar 28, 2008, 6:45pm   #8
 
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In fact I've decided to stay here until 9 just on the offchance... bit drunk but can't see that being a problem with the massive price movements I may see on Euribor. I *really, really doubt* they'll occur but for the possibility of 50 grand on a 100 lot position seems worth it
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Old Mar 28, 2008, 8:06pm   #9
 
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Jeez, how incompetent am I? closes at 8 eh? Anyway, have a good weekend everybody


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Old Mar 28, 2008, 10:58pm   #10
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if stops were in place, its a horror story

if not, then you wait for the upturn and return to sanity and get back the losses on the upside move

mp
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Old Mar 28, 2008, 11:34pm   #11
 
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Must admit I called them up and asked who it was... They wouldn't say but the nice german man seemed happy enough to accept my offers of a good weekend, so we'll see.
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Old Mar 31, 2008, 5:29pm   #12
 
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DaxDestroyer started this thread As I was not trading today, I made some calls to people who often know things, nobody else knows

Here is their take:

The Bund "spike" on Friday was traded by an "algo-machine".
Market talk is, that they hit the 114 level to kill a huge "if touched" option and made - market talk again - around 5 times, what they lost on the future.

Eurex had a lot of complaints, BUT as nobody made a "mistrade request", they had to adhere to their rules. As the machine made sure by "rolling down", that no too big gaps were traded, all trades were correct. The volatility interruption hit only as market traded WITH GAPS to the upside.

This could never have happened on the floor.

One Eurex source says, after this happened some times in the DAX and now in the Bunds, they might work on their rules.

Let's see.

Anybody here with a different take?

Please take care it gets nasty outside!
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Old Mar 31, 2008, 5:47pm   #13
 
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Quote:
Originally Posted by DaxDestroyer View Post
. . .
Market talk is, that they hit the 114 level to kill a huge "if touched" option and made - market talk again - around 5 times, what they lost on the future.
Hmmmm, no inside knowledge at all my side but, if I were the counterparty to that OTC then I'd be crying foul big time with probable litigation in the works.
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Old Mar 31, 2008, 6:00pm   #14
 
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X-Posting from here:

What I got mailed to me this morning was that 'someone sold 44000 lots at market'. I doubt the 44000 figure however, since on the 1min chart, the volume during that drop stood at 44068.
Given the state of affairs however, the 'If touched' Options theory sounds plausible.


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Old Mar 31, 2008, 6:06pm   #15
 
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DaxDestroyer started this thread I have somebody, who records the book. And he pulled all his orders as he noted unusual movements down in the book some minutes BEFORE the spike.

And the thing started stepping down first a bit than quicker - no chance to be an "at market" order.

This was computerized fraud IMHO



Quote:
Originally Posted by kobeyashi View Post
X-Posting from here:

What I got mailed to me this morning was that 'someone sold 44000 lots at market'. I doubt the 44000 figure however, since on the 1min chart, the volume during that drop stood at 44068.
Given the state of affairs however, the 'If touched' Options theory sounds plausible.


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