I’m looking at a very curious daily trading range of 5.12 for the Dollar Futures Index on NYMEX.  That’s about 5 times larger than the largest daily range in the past five months.  Within the next couple weeks, most quote vendors will have cleansed today’s bar out of their quote systems because it makes their charting software look broken.  But, the reality is, if you had a stop order in, you just got filled.  The US Dollar just swept through about 6 months of trading range in about five minutes this morning.

This is not the first time we have seen this sort of behavior in electronic markets.  But, it is very questionable behavior.  And, it brings to light the question as to how well electronic markets actually function.

Here is a view of this chart from an electronic broker:

image

And here is another view through another data vendor:

image

As I say, this is not the first time.  The last time it was a downward spike in the US Dollar Index.  It was within the past 6 months.  I’d show it to you on my charts, but, of course, it’s all been cleansed out to make the charts look pretty.  But, I remember it vividly because I was actually long dollar then.  And, in about five minutes on a Sunday, I was in extreme pain, as my charts indicated that the Dollar had made about a 3 month move in five minutes during a time I was vulnerable, I was manually entering stops on a daily basis that week.  I went for a run to catch my breath before I did anything hasty.  Upon my return almost the entire move had come back, much like the move out there this morning.

It’s not a good way to live.  Chalk this up on the list with Dark Pools and Flash Trading, under questionable practices on electronic markets.

Share
Share