Dutch Bank Algo Blamed For GBP Flash Crash

Another rogue algo takes matters into its own binary hands. Time to institute circuit breakers for the tiny FX market, which alone celebrated Obama’s latest set of oratory delight by flash crashing all on its lonesome…

From Goldman’s Mitesh Parikh:


GBP – what just happened

To save being asked anymore times – the short answer is I honestly don’t know.. 1.5290 – 1.5168 between 7.56am and 7.57am.. unlikely it was for a fix (that would make sense if closer to 8am), and price action doesn’t suggest a mis-hit since it was ‘walked’ down over the course of the minute albeit exceptionally aggressively (not everyone executes as subtly as we do… no comments please!) We saw Dutch interbank names selling aggressively towards 1.5200 with some suggestion that their algo blew up from a few market sources, although we can’t comment on the validity of this.  Needless to say the market has corrected, cable is back above 1.5300, cross now sub 0.8430 , exactly where we started.

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