Friday, December 21, 2012

Russell TF Futures Mini Flash Crash Report 20th Dec 2012

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Russell TF Futures Mini Flash Crash Report 20th Dec 2012.Russell Mini Flash Crash
20th December 2012.Although not as affected like some of the other markets the Russell Tf Futures also dropped very quickly overnight due to either human error or possible high frequency trading algorithms thankfully now high frequency trading can be  tracked by anyone in real time so perhaps you can avoid getting caught on the wrong side of a move like this and at the very least be able to get yourself out quickly without incurring too many losses  if you would like to monitor High Frequency trading yourself in real time get whats probably the worlds fastest set of trading indicators at we even have a great free trial your trading will be changed for the better and it will help you stay more on the winning side of trades
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Definition of A FlashCrash Courtesy Of Wikepedia Creative Commons Licence
As of July, 2011, only one theory on the causes of the flash crash has yet been published by a Journal Citation Reports indexed, peer-reviewed scientific journal.[40] One hour before its collapse, the stock market registered the highest reading of "order flow toxicity" in recent history.[40] The authors of this paper apply widely accepted Market microstructure models to understand the behavior of prices in the minutes and hours prior to the crash. According to this paper, "order flow toxicity" can be measured as the probability that informed traders (e.g., hedge funds) adversely select uninformed traders (e.g., Market makers). For that purpose, they develop the VPIN Flow Toxicity metric, which delivers a real-time estimate of the conditions under which liquidity is being provided. If the order flow becomes too toxic, market makers are forced out of the market. As they withdraw, liquidity disappears, which increases even more the concentration of toxic flow in the overall volume, which triggers a Feedback mechanism that forces even more market makers out. This cascading effect has caused hundreds of liquidity-induced crashes in past, the flash crash being one (major) example of it. One hour before the flash crash, order flow toxicity was the highest in recent history.
Note that the source of increasing "order flow toxicity" on May 6, 2010 is not determined in this paper or captured in the VPIN metric. Whether a dominant source of toxic order flow on May 6, 2010 was from firms representing public investors or whether a dominant source was intermediary or other proprietary traders could have a significant effect on regulatory proposals put forward to prevent another Flash Crash.