ZN pickoff yesterday 28k+

Discussion in 'Financial Futures' started by dumb_mother, Jul 31, 2014.

  1. anyone else notice the 28000 lot that picked off what didn't necessarily look like an honest bid yesterday after the close? i think it was at like 230 or something like that someone came in for 12k bid at 124200 then bumped it to 22k and then went to 32k and someone 1 clicked through them and there was a 28XXX print in the time and sales. that's the largest execution i can remember seeing in the open markets since the zf was ratio.
     
  2. jelite

    jelite

    Just looked at my data from yesterday, indeed, 28586 contracts traded on the bid in that minute (2:25PM-2:26PM). That is serious volume, however, I don't see any significant follow through today... seems like that volume didn't do any damage (so far...).
     
  3. FWIW the Fed does that kind of buying every week.

    3.5B notional is nothing to sneeze at.
     
  4. but the fed doesn't do it through the open market in clicks like that. they give everyone plenty of warning because of what might happen. i just can't believe that kind of size went off without sparking a big zn move one way or the other with one of the two sides puking it before unemployment!
     
  5. I think you answered your own question, that smelled more like a prearranged trade than a pickoff.
     
  6. bone

    bone ET Sponsor

    Wash trade or a basis trade would be the most likely scenarios.

    As a side note, at prop firms I have seen guys post big bids or offers to supposedly "spook" the market into their opposing orders get bushwhacked instead. Size draws attention of the big fish like a moth to flame. Only the little minnows puke. For the pro-rata order matching markets, prop traders would bid or offer a thousand just to get 50 or 100 of an order. But, at times... ooops !
     
  7. that game is a little long in the tooth. who is left to be fooled by a fake order? more likely folks are waiting for some idiot to flash and whacking them hard.
     
  8. bone

    bone ET Sponsor

    While I have no idea what happened in this particular case, but wash sales happen all the time and they are legal. In electronic markets, Brokers are allowed to show an order to the market for a period of five seconds ( CME Rule 549 ), and then they are allowed to cross orders ( for example, a bank customer desk or in terms of traditional FCM's the RCG or Advantage Futures execution desk ). Still happens all the time.

    http://www.cmegroup.com/rulebook/files/cme-group-ra1301-5.pdf

    It would help to look at the Bloomberg time and sales for OTR 10YR cash to see if it was a basis trade.
     
  9. ammo

    ammo

    still happens , all the time, if you zero out the price on the dom in think or swim,so that there is a total count on the bid and offer, instead of so many at each price 5 above and below, if we are going up there are always more on the offer,10k on the bid and 13k on the offer for instance, when they even up and the bid becomes the larger total we turn, doesnt often work after 2 45 cst into the close
     
  10. bone

    bone ET Sponsor

    Whomever posted that kind of size was enabled to do it by both their clearing firm and the CME. So in that sense, it was not "fake".

    If you look at your order entry log, there is a credit check with each order entry.

    If he didn't want them all, he would have cancelled the order once he started getting filled.

    In 1998, I saw what I was informed by firm management later was George Soros doing 100,000 Bund contracts total in about 20 seconds. Emptied the entire order book twice. The only reason we found out was because both my firm and his happened to clear the same German Bank, and after the market closed the Risk Manager called Frankfurt and asked nicely WTF happened.
     
    #10     Aug 6, 2014