Another flash crash happened 2 days ago – 20/12/12. Aggressive algo to blame. From Nanex:
Another flash crash happened 2 days ago - 20/12/12. Aggressive algo to blame. From Nanex:
“On December 20, 2012, there was an Event in the EMini futures at 20:18:40 ET. The data exhibits many hallmarks of a HFT (High Frequency Trader) market maker absorbing sell orders up to their limit, and then turning around and dumping those contracts as fast as possible. Exactly what happened in the Flash Crash on May 6, 2010… Only in this case, the original seller appears to be much more aggressive than Waddell & Reed’s algorithm. The drop came in 2 seconds, and halted trading for 10 seconds. The flash crash halted eMini trading for just 5 seconds.”