Shafted by the exchange - ASX Listed CFDs for SPI

[yrebrac]

Well the market opened up today. No problem, my short trade on the SPI was still in good shape, with a stop ten or so points above the recent hights at 4320. I checked my trade long anyway...
A fill at 4379.80?!?! Are you kidding me???
I'd been stopped out at the open 60 points above where my order was placed. In fact I have the dubious honour of achieving the highest sale of the day, and making the lucky buyer and instant profit when the opening price settled around 80 points lower.

This is not supposed to happen. For a start this CFD is explicitly tied to the underlying which never traded anywhere near that level. But how did this order even get triggered? Even if it did how the auction process/ market maker etc allow a fill at that price?
An hour of reading the ASX webpage and phone calls to my broker and the SFE Ops Desk later and I found out what my recourse is:
- Lodge the cancellation request within 5 minutes of the trade and
- Pay a fee of $1125
They've made it easy haven't they

So what is the lesson in this? Apart from the little guy gets screwed again. Well the ASX guarantee of a fairer playing field for CFDs via their product is obviously bumkus. And I don't see how 'lack of volume' could fully explain this, certainly not the fact that it triggered at all. So I am really not sure what to make of it except "don't trade ASX-listed CFDs".

 

[skyQuake]

Well the market opened up today. No problem, my short trade on the SPI was still in good shape, with a stop ten or so points above the recent hights at 4320. I checked my trade long anyway...
A fill at 4379.80?!?! Are you kidding me???
I'd been stopped out at the open 60 points above where my order was placed. In fact I have the dubious honour of achieving the highest sale of the day, and making the lucky buyer and instant profit when the opening price settled around 80 points lower.

This is not supposed to happen. For a start this CFD is explicitly tied to the underlying

No, where does it say that?

which never traded anywhere near that level. But how did this order even get triggered? Even if it did how the auction process/ market maker etc allow a fill at that price?

You said it yourself. Its an auction process and your stop must have been triggered. Given the wide bid/ask spread at the open yours must have been a stop market?

An hour of reading the ASX webpage and phone calls to my broker and the SFE Ops Desk later and I found out what my recourse is:
- Lodge the cancellation request within 5 minutes of the trade and
- Pay a fee of $1125
They've made it easy haven't they

So what is the lesson in this? Apart from the little guy gets screwed again. Well the ASX guarantee of a fairer playing field for CFDs via their product is obviously bumkus. And I don't see how 'lack of volume' could fully explain this, certainly not the fact that it triggered at all. So I am really not sure what to make of it except "don't trade ASX-listed CFDs".

Bad liquidity = bad fills. Simple as that. I'd rather trade marketmaker CFDs with any provider.


-----------------------------------------------------------------------------------------------------------------------------
Having said that, there was a 20 lot filled at 4340, a 40lot at 4335 and 60odd more lots done around 4320.

This is compared to a 4320 open for June spi which should trade 20pts above cash.

Obviously someone got something wrong and pushed prices.

(You could have sold into 100lots into the bid @ 4331 avg, and taken a quick 31pts on 100lots)

 

[yrebrac]

No, where does it say that?

You said it yourself. Its an auction process and your stop must have been triggered. Given the wide bid/ask spread at the open yours must have been a stop market?



Bad liquidity = bad fills. Simple as that. I'd rather trade marketmaker CFDs with any provider.

I am busy talking with ASIC so don't have time to debate this in detail. Quick pointers:
- read all the doco on the ASX CFDs page
- read the ASIC market intergrity rules
- understand the ASX24 auction algorithm


Nevertheless I would be happy to hear any detailed explanation of how this trade could have occured within normal market conditions and within market rules.

 

[yrebrac]

Bad liquidity = bad fills. Simple as that.

You may be right, however I'm not yet convinced that that is the case here. And you haven't provided an argument, just a statement.

Having said that, there was a 20 lot filled at 4340, a 40lot at 4335 and 60odd more lots done around 4320.

This is compared to a 4320 open for June spi which should trade 20pts above cash.

Obviously someone got something wrong and pushed prices.

It's not clear if you are looking at order history of CFD or futures. The CFD is tied to the SPI INDEX not the June futures contract so not useful to compare. If CFDs where are you getting the order history? My DOM doesn't extent that far up but it seems well outside the extreme cancellation range.

 

[skyQuake]

You may be right, however I'm not yet convinced that that is the case here. And you haven't provided an argument, just a statement.

Quick question here. Was it stop limit or stop market? If stop market, I don't think you have much recourse.
Looking at historical 5min, liquidity is horrible. if it was indeed a stop market, I can imagine it getting terrible fills, esp at open.

It's not clear if you are looking at order history of CFD or futures. The CFD is tied to the SPI INDEX not the June futures contract so not useful to compare. If CFDs where are you getting the order history? My DOM doesn't extent that far up but it seems well outside the extreme cancellation range.

Index is based off futs. Futs open at 9:50am. Index staggered open at 10am.
I was looking at course of sales on the XJO CFD (IQV6 in IRESS, IQCA Bloomberg).

I'm not sure if you can get ASX to reverse it as part of "orderly market" cancellation range.
Precedent is 29th Dec 08 - o/n spi was 3583, opened 3628 and shot up to 4000. All orders over 3900 were cancelled. rougly 10% above open.

 

[skc]

Well the market opened up today. No problem, my short trade on the SPI was still in good shape, with a stop ten or so points above the recent hights at 4320. I checked my trade long anyway...
A fill at 4379.80?!?! Are you kidding me???
I'd been stopped out at the open 60 points above where my order was placed. In fact I have the dubious honour of achieving the highest sale of the day, and making the lucky buyer and instant profit when the opening price settled around 80 points lower.

Can you explain exactly what you did there again?

Did your stop get triggered and the system sent an automatic buy at market to close your position? Or did you place a buy at market to close yourself?

How many contracts are we talking about?

To get the fill you got the spread must have been ~150pts, given that the equivalent IQ open should have been ~4305-4310.

BTW, ASX CFDs are the worst instrument anyone can possibly trade as I am sure you've discovered now.

 

[yrebrac]

Ok, still collecting details here however this is where I am at:

- My buy stop was placed @ 4320
- No native support for stop orders on ASX24, so the order is held by the broker until triggered and then submitted as a market order
- The trigger method on my order was "Last or Bid/Ask", meaning either
a. the last price above the trigger or
b. an ask price less than or equal to the trigger.

I believe a. is ruled out because Time and Sales show that my trade is the first trade of the day - there is no last price. I have been trading the equity CFDs for some time and never had a problem, but this is the first index trade I've made. I have been trading the equity CFDs for some time and never had a problem, but this is my first index trade.

b. is unclear. This statement is from the broker but I think it should read "greater than". Presumably ask data comes from the exchange and the broker must both display and trigger on the best, i.e. lowest, ask. So in order for this trade to occur as a result of b.:
i. The best ask at the open must have been above 4321. But this would then result in a Market order being submitted.
ii. The exchange must have determined the market price to be 4379.80. I presume this is just the best ask which it follows must have been 4379.80. It would take poor liquidity indeed for this to be true.
iii. Not only that my market order must have been first in the queue. So that is very poor liquidity on the buy side as well.

This is my understanding so far, it may evolve. The broker is currently checking the exchange data from the open.

Only a couple of contracts so this hasn't broken the bank. Nevertheless I am seeking a full understanding and will hold any responsible parties accountable, including myself!

The ASX-listed CFDs actually seem like a good idea to me, but if the blame is down to lack of liquidity, I would agree this makes them a bad instrument.

 

[skc]

According to this the open price was 4285, which doesn't make any sense either.

http://www.asx.com.au/asx/markets/cfdPricesList.do

In fact I don't even know if there's supposed to be auction open/close for IQ.

But for a couple of contracts... just a cheap lesson so don't stress too much.

 

[yrebrac]

According to this the open price was 4285, which doesn't make any sense either.
http://www.asx.com.au/asx/markets/cfdPricesList.do

In fact I don't even know if there's supposed to be auction open/close for IQ.

Yes, it's still not adding up..

The SFE Ops Desk definitely left the impression there was a problem but they wouldn't deal with me direct. Took about 10 minutes to look into but was kind of apologetic that he had to tell me to call the broker. So I started ask general not specific questions like "so could a fill like this be expected under normal but low volume market conditions". To which the answer was to put me on hold and ask his supervisor if he could answer that. If the answer was yes you'd think he'd just say yes.

But for a couple of contracts... just a cheap lesson so don't stress too much.

Too true. But if I am going to learn it , better learn it well so I don't have to relearn it with more contracts! I think this will be first and last SPI CFD trade regardless

 

[skc]

Yes, it's still not adding up..

The SFE Ops Desk definitely left the impression there was a problem but they wouldn't deal with me direct. Took about 10 minutes to look into but was kind of apologetic that he had to tell me to call the broker. So I started ask general not specific questions like "so could a fill like this be expected under normal but low volume market conditions". To which the answer was to put me on hold and ask his supervisor if he could answer that. If the answer was yes you'd think he'd just say yes.

Who's your broker BTW?

A good broker will own up and refund you or reinstate your position... esp if you are important to them.

 

[yrebrac]

Well I promised an update so here it is. The broker confirmed that at the open there were only 2 bids on this product and the first was where I got my fill. So the reason for getting such a ridiculous fill was indeed lack of liquidity. Caveat emptor et caveat venditor!

What they haven't been able to explain is why the high of the day as displayed on the charts was 60 points lower than the high in Time and Sales, and why the opening price is also lower (still not certain if there is an opening price auction as such).

Also no explanation as to what the range controls are on this product, even though the requirements from ASIC are explicit. As suggested I'm chalking it down to a relatively cheap lesson on liquidity and in future will be avoiding trading low-volume products. I still feel a trade this far out of range should not be allowed so I retain my thread subject But of course it's a low-priority low-profile product and won't get too many complaints. Avoid!