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When Eurodollar and 10year and 30year yields, as in 10/14 rates flash crash, move aproximately 20 to 30percent of their base yield...for example if Eurodollars are 9800(2per cent) and move , peak to trough 65 bps, and the same for a 10yr yield, something is seriously wrong with liquidity and market structure. The same behavior can be observed in the use/chf, commodity futures...any complex. No doubt, just as in the equity flash crash, systematic trading , which is here to stay, need safeguards and should be strictly enforced by the cftc and nfa sec. There are stop bots, banging the bee hive programs, spoofing....all illegal for individuals but are they enforced for systematic programs? Are they even recognized? Who(dark pools, information...down to the nanosecond ... Has this access?) what lines do dealers, brokers, exchanges provide to who when)..for example .. If I put a electronic stop in thru a broker, or execute an electronic buy/sell...who sees this and when? The exchanges want to make money and love volume(biggest volume are systematic traders) outside agencies need to look at's a must read: it's no mystery what's going on:
Meant buy high yield sell low yield....but the question is: who gets access to price when executing thru a prime dealers system, a brokers system, who see what and when down to the nano second...I know there stop sniffers out there....when do they see the order book? Who sees the "upstairs" trades?
meant buying high yield and selling low yield.....
Thanks for your report as this represented an outrageous event...there is a term "banging the honey pot"...this is when systematic/automated trading systems sell the market to take out all of the stops and then the market bounces back...this can be seen in many markets....its a question of the order book (stops) and who has access when....but given a quick look at these price moves (essentially euro-dollar futures EDH18 moved .55bps (27% range!!!!) and bonds (11% range or 30bps)10s UST 37bps (18.5% range)some participants made alot of money and many really is outrageous to see these percentage moves......PTFs were the biggest participants on that day...who was buying at the start of who bought at the end?? And euro-dollar see that type of move??? No doubt ptfs were trading with themselves...probably selling high yield and buying low.......also the exchanges make alot of money on volume...whomever is doing the more automated systems churning and burning volume...the better....but what is going on with these order books...who sees them when? what about broker dark pools? do they exist....are stops and orders confidential...or are they seen by PTF's? what about the non-transparency of "upstairs trades" in the futures markets that arent seen until eod? If one looks across all asset classes in the futures markets and these "banging the honeypot" phenomna/huge spikes down/up...there may be found a rythm of percentage moves pointing to systematic
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Jul 20, 2015