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Article in [I][B]Futures[/B][/I] magazine (online) —
GBP “flash crash” post-mortem: 4 reasons for the plunge
Here’s a look at the gap that occurred in the retail price feed from FXCM during the flash-crash.
Prior to the flash-crash, GBP/USD was trading at about 1.2620.
As price crashed to about the 1.2340 level, FXCM retail prices (ASK and BID) went dark.
As the crash accelerated from 1.2340 to an ultimate low of about 1.1900, and then rebounded to about 1.2050, the FXCM price feeds remained dark — creating a [B]6-minute 41-second gap[/B] in the retail price feed.
The following screen-shots show FXCM’s GBP/USD tick-chart during the flash-crash. I have added GMT times, and other notes. In the first screen-shot, I have indicated various STOP-LOSS levels for a hypothetical LONG position in GBP/USD entered at 1.2620. Notes on possible/probable slippage are my “guesstimates”.
The second screen-shot is a zoomed-in view of the price gap, with some additional notes.
