Futuresnoob 

What is the best way to plot the curve? My thought was to use excel to plot the spread between March / April then April /May and so on. Would this work?

I don't follow. Did you mean to quote my post or did you mean to quote another?

xplorer 

I don't follow. Did you mean to quote my post or did you mean to quote another?

Sorry hit quick reply from my phone.

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Seems like this used to happen a lot more often than it does now. I suspect the root cause is an extra zero in the order size, buy 500 becomes buy 5000 for example! Smaller (say 10 tick) sweeps are still common in some commodities. I believe there are algo's that try to take advantage of this, by always having orders X ticks off market.

SMCJB 

Seems like this used to happen a lot more often than it does now. I suspect the root cause is an extra zero in the order size, buy 500 becomes buy 5000 for example! Smaller (say 10 tick) sweeps are still common in some commodities. I believe there are algo's that try to take advantage of this, by always having orders X ticks off market.

Yes, I see smaller sweeps taking place on an almost daily basis on CL. This, however, was an exceptional event.


There was an unscheduled news release taking place at the time of that order that may have played a role.

Another sweep, albeit less severe than the one on 14th Feb took place today on Crude. This was about 20 ticks in magnitude.




It coincided with this news release (UK time)

xplorer 

I thought I'd post this for anyone else who might have been caught in that anomalous event mentioned by @Daytona in the chat last week. Essentially what happened was that a large sell order swept through 46 price levels which means anyone who was long and had a tight stop loss set would not have been able to get out of the trade. CME in these cases changes arbitraritly the stop market order to a limit order further down (further up for shorts). The distance is determined by the CME according to the product you are trading. They do so to avoid, according to their webpage, that stop orders get filled at extreme prices. They call it Stop Orders with Protection. This event took place at 3 pm UK time on 14th Feb.

Thanks @xplorer

In a situation like this I want my position to be closed out as soon as possible. According to the cme product reference sheet for CL, the protection functionality would have placed a limit order 25t below my initial stop level. What if price doesn't go back to that level? I think this is downright dangerous and quite worrying, up till now I had the security knowing that in an extreme price event my position would be closed out at whatever price, but now I know that's not true.

Am I missing something? Thoughts?

Daytona 

Thanks @xplorer In a situation like this I want my position to be closed out as soon as possible. According to the cme product reference sheet for CL, the protection functionality would have placed a limit order 25t below my initial stop level. What if price doesn't go back to that level? I think this is downright dangerous and quite worrying, up till now I had the security knowing that in an extreme price event my position would be closed out at whatever price, but now I know that's not true. Am I missing something? Thoughts?

The standard broker response in these cases is that, if the market keeps going in one direction because of unforeseen events there may be a limit up/down scenario and trading would be halted.

I asked around other traders that have traded CL longer than me and they have never experienced an event of this magnitude so I must conclude it is something relatively rare.

The other thing to consider is, after such a sweep there should be a tendency for many to want to exit their positions, offsetting at least part of the initial sweep. This is in fact what happened on the 14th and the market bounced back and then some, but this of course is not guaranteed.

I've been trading CL for 5 years and yes moves like this are very rare, I feel like they used to be more common a few years back. And yes the price does normally move back into the liquidity vacuum that's been created. I got out as soon as I could for a 42t loss, but if I just let my position run it would have been only 25t - however my game isn't to play price gaps, or play to limit losses resulting from one, and if i was in the same position again I'd probably do the same.

I always just like to know what my worst case Armaggeddon type scenario loss could be. From the cme page the limit up/down price is currently 600t away from the previous days settle, so this leaves a big window of exposure open if the price continues in one direction.

Doesn't seem like there is anything I can do about it apart from rest in the knowledge that these events are extremely rare and hope if am in the next time, I'm on the right side of it

Daytona 

Doesn't seem like there is anything I can do about it apart from rest in the knowledge that these events are extremely rare and hope if am in the next time, I'm on the right side of it

If you watch that video, you will see that there were no buy orders whatsoever for 46 ticks, which means a big order must have swept through that many levels.

So, yes, it should be rare.

Daytona 

I always just like to know what my worst case Armaggeddon type scenario loss could be. From the cme page the limit up/down price is currently 600t away from the previous days settle, so this leaves a big window of exposure open if the price continues in one direction.

Where exactly can you see this information? What is the web page link?