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Re: A/C/E "one second netting"



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Happens on Eurex all the time trading bunds, Eurostoxx or SMI.  Only in the 
SMI have I seen fills more than 1 point away from chart extremes, though, 
probably because it's considerably less liquid than the other two.

I really don't know why people are so full of praise for the Eurex 
platform.  Snapshot price reporting AND large spikes on thin order books 
with pretty much arbitrary busting by the exchange don't make me terribly 
confident.  Liffe Connect doesn't seem to have these problems.

Regards,
Stefan Schulz
Suaviter Limited

At 13:48 09/09/03 -0400, kaj wrote:
I experienced the A/C/E "one second netting" first hand today trading
bonds (ZBZ3).



Even though I got stopped out at a price that neither my charts nor data
sent out by A/C/E verifies, it makes me wonder if anyone else got
stopped out worse than me.  In my case it was only a matter of 1 tick
below print.