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Faulty algorithm, 2 minutes, US$ 700 mio turnover, US$4.3 mio loss

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I believe this deserves a coverage in English as well. Reportedly, a faulty algorithm of a major Russian bank executed USD/RUB trades on #MMVB-RTS for a total value of US$ 700 million. On June 21, 2012 at 6 pm Moscow time, for about two minutes, the algo bought USD at ask and sold at bid. The estimated loss from the trades is US$ 2- 4.3 million and the volume suggests the trades originate from a major market participant. The exchange has already announced that the trades will NOT be cancelled.

 

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Written by A.S.

June 24, 2012 at 12:59 pm

Posted in Uncategorized

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