Flash crash sparked by order surge

A surge in quote traffic immediately followed by heavy sales of key securities sparked the “flash crash” on US stockmarkets on 6 May, datafeed vendor Nanex said yesterday. The sale of $125m worth of Chicago Mercantile Exchange S&P500 stock index e-mini futures contracts followed 25 milliseconds later by the sale of more than $100m worth of exchange-traded funds triggered the sell-off it said.

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