Over the past several days, we've seen tremendous volatility and range in the futures markets like ES. At certain times, the market moves so fast that it was not possible to track with the eye. And, there was very little liquidity.
I suspect systematic strategies, if they weren't shut down, might have made some good profits but probably overall suffered losses, possibly huge, as the expanded ranges would likely take out their usually larger stops and the slippage/entries would be terrible. Strategies based on shorter histories and/or optimized based on recent ranges without adaptation might be hit hard. I know I was trading ES (tryout simulator) and executing market orders could be very risky at times with possible huge slippage (at least from the price the eye seen). Overall I think trading conditions were good for a discretionary trader but riskier then periods I can remember in the past. A particular problem was that the market moved too fast to track for a discretionary trader during the faster periods. I think this is a real problem for the futures market when the market moves that fast. During these periods, if a non co-located retail auto-trading strategy were to be executing with market orders I suspect the results would be disastrous.
I would not be comfortable running an auto-trading strategy in recent conditions that used market orders for entries. You might be okay but you might have got in 5-10-20 points off your anticipated price. This brings up another question. Does anyone know there is a "market limit" order that allows you to specify a custom max slippage from your mark price?
For discretionary trading, if the DOM could submit the "visible market" price with the order then this would also be useful. The trader could specify a max slippage or offset from their mark price.
Any auto/systematic traders trading the futures with stop losses please add in what you observed and/or actions you took during the fast/low liquidity periods. Also, if anyone knows if Tradestation or retail trading platforms support a "FOK market order with a specified allowed slippage"?
Also, do you know if there is any discussion regarding the market moving too fast for human trader?