Nanex Research
Nanex ~ 10-Jul-2013 ~ $11.3 Billion in 1 Second
We were curious to what the highest number of eMini futures contracts (ES - S&P 500
futures) was ever traded in 1 second of time. When plotting the results, we were shocked
to find there was an instance of 200,000 contracts ($11.3 Billion notional value) that traded
in 1 second! That is about 6 times more contracts traded in 1 second, than Waddell and
Reed traded over a
720 seconds, and got them (incorrectly)
blamed for causing the flash crash.
Details
On January 13, 2010 during one second of time at 12:03:37, there were 200,958 contracts
from 1,571 trades: an average of 128 contracts a trade. To give you an idea of how large
an average of 128 contracts per tade is: Waddell and Reed averaged just 11 contracts
per trade (75,000 contracts in 6,438 trades over the entire 20 minutes). We suspect
this may have been a case of self-dealing, and could have involved a transfer of money
between accounts (money laundering), as the price barely moved.
It is curious that there has been no mention of this record shattering event. Until
now.
Update: A reader
sent us a link to regulatory action based on this event. Turns out, it was an
poorly written algo that traded against itself. But you have to read the narrative -
it is shocking. Because there was a very real possiblity that a major market event could
have unfolded. The algo tried to trade another 1,600 orders for more than 7.8 million
contracts! If the orders had been for 2,000 or fewer contracts each, they would have
passed the Globex 2,000 contract upper limit, and gone into the system, causing who
knows how much damage. Here is the relevant snippet:
1. Chart showing the peak number of ES futures traded in 1 second for each day
between January 2008 and July 10, 2013.
