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Quantitative Finance · Glossaire

Qu'est-ce que « Velocity logic » ?

Definition 25.3 Microstructure and Execution · Chapitre 25 — Circuit Breakers and Halts

Velocity logic pauses matching in a futures contract for a few seconds when its price moves by more than a set number of ticks within a set short time; during the pause orders may be entered, modified and cancelled, and matching resumes with an auction.

mechanismfall (ticks)halted (s)seller’s fillsseller’s cost (ticks)
none27.4017 58012.2
dynamic band and pause20.0016 4409.6
velocity logic24.97911 75213.2
market-wide halt18.9489 2796.6
Table 25.1. The same crash under four mechanisms, 20 sessions each: the largest fall of the mid from its start, the time trading was halted or paused, the crash seller’s filled shares (of 40 000 sent as market orders) and its average sale price below the starting mid. Data: mx_halts.mechanisms_study.
One crash session under the dynamic band, with anticipating sellers: the mid falls to within a few ticks of the lower band and rebounds without a pause, while the band, which follows the minute’s average trade price, walks down behind it and back up. Data: mx_halts.example.
Figure 25.1. One crash session under the dynamic band, with anticipating sellers: the mid falls to within a few ticks of the lower band and rebounds without a pause, while the band, which follows the minute’s average trade price, walks down behind it and back up. Data: mx_halts.example.
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