Wednesday, August 25, 2010

Just in Case You Were Wondering

HFT Firm Faces Charges For Causing "Oil Trading Mayhem"

Infinium placed 2,000 to 3,000 orders per second before its flooded order router "choked" and was "dead in the water" a few seconds later, the developer's notes said. The algorithm was shut down five seconds after it was turned on.

By then, the documents show, the firm had sent 4,612 "buy limit" orders into the market. It quickly offset the position, mostly with large "block" trades in the next few minutes, leaving it with a $1.03-million loss.

NIIIIIICE!

 The algorithm was turned on at 2:26:28 p.m. (Eastern) on February 3, less than four minutes before NYMEX closed floor trading and settled oil prices. It immediately started uncontrollably buying oil futures, according to the documents, which include letters from Infinium's lawyer to the regulation unit of CME Group, and cite notes from a company developer.

and

The documents did not suggest that Infinium was suspected of what is known as "banging the close" -- an illegal practice in which traders try to move the futures market by flooding it with orders just before it closes.

LMAO

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