Guest posted by David Keohane , FT Alphaville
Oct 05 09:55
See if you can spot it (chart of the Nifty from Google Finance):
From Bloomberg:
The National Stock Exchange of India said 59 erroneous orders were responsible for a plunge and halt in trading today that briefly erased about $58 billion in value from Asia’s fourth-largest market.
Orders entered by Emkay Global Financial Services Ltd. for a client that led to trades valued at 6.5 billion rupees ($126 million) caused the problem…
But, while this is particularly fun for one reason:
The halt, the biggest such problem in more than two years, comes about month before competition is poised to intensify when the third Indian bourse, the MCX Stock Exchange, begins trading equities.
“This clearly shows the systems are not in place,” Arun Kejriwal, director at Kejriwal Research & Investment Services Pvt. in Mumbai, said by phone. “With another exchange set to be operational in about a month’s time investors would have an alternative.”
It’s less fun for another:
From the NSE:
Emkay Global Financial Services has closed out the positions arising out of erroneous trades smoothly. The member has been disabled from trading.
The market circuit filter got triggered due to entry of 59 erroneous orders which resulted in multiple trades for an aggregate value of over Rs.650 crores. These orders have been entered by a trading member Emkay Global Financial Services on behalf of an institutional client. These non-algo market orders have been entered for an erroneous quantity which resulted in executing trades at multiple price points across the entire order book thereby causing the circuit filter to be triggered. These orders have been identified to a specific dealer terminal.
The market opened normally today and Nifty opened at 5,815. At 9.50.58 Nifty circuit filter got triggered upon which the cash market was closed automatically. The Nifty fall was apparently on account of abnormal orders resulting in multiple trades at low prices. While the Exchange systems functioned normally without any glitch, the above abnormal trades caused market closure automatically due to the index circuit filter getting triggered. The market was reopened by the Exchange with a pre-open phase at 10.00.22 and trading resumed at 10.05.00. The market is functioning normally and the incident is being investigated.
No algo baiting here then. Boo.
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Source: http://ftalphaville.ft.com/blog/2012/10/05/1193301/an-indian-flash-crash/
