Nanex ~ 16-Oct-2013 ~ Panthers on the Loose?
On October 16, 2013, starting about an hour before the European open at 3:00 ET, an unusually large buy
order appeared near the top of book in the December 2013 eMini (ES) futures contract:
5 lots of 1000 contracts, or orders to buy 5000 contracts total. That is a huge order,
even during regular trading hours.
About 1 minute before 3:00, the buy orders
were moved up to the top of the book. Trades that appear at this level were executions
against other existing orders in the book
(and not against the large buy orders). Just before selling began in earnest at 4 seconds after 3am, all
5 orders, comprising of 5,000 contracts, were canceled. This behavior is similar to the Panther case. It shouldn't
take the regulator more than an hour to figure out who did it, and a day to find out
the intent. We'll wait.
1. December 2013 eMini (ES) Futures Depth of Book - Tick Chart (how
2. December 2013 eMini (ES) Futures Depth of Book - 1 second interval (zoomed
out from above).
3. Here is the algo earlier that morning.
4. Same behavior about 30 minutes before 3:00 ET.
5. Shortly after 3:00 ET.
6. Last time it was seen (as of 7am).