sobota, 18 maja 2013

HFT invited to a land of new opportunities

The markets are broken.

I've thought, nothing will beat an epic fall of Accenture in May 2010. From $40 to $0.01.

But we've received Andarko yestarday... $90 to $0.01 in mere 45 milliseconds!

Source: Nanex

The fall in Andarko price probably affected the value of the S&P500 index by 1 point.

I wonder whether anyone either sold some ES futures just before manipulating the Andarko price, or bought them just after the mini flash crash?

A single point is not much, but may be tempting enough.

This reminds me: the Warsaw Stock Exchange (WSE) has recently changed its equity futures settlement price rules. While the settlement price of the index futures is based on the average of the index over some time, the final settlement price of equity futures depends on the last price of the underlying stock.

Since WSE has been running on the NYSE's UTP for a month now, new HFT players shouldn't have any problems with adapting and making the prices right ;)

Recent (mostly) HFT-related posts: http://www.reakkt.com/search/label/high-frequency%20trading

HFT-related news: https://pinboard.in/u:mjaniec/t:high_frequency_trading/

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