Thomson Reuters has officially confirmed that the absolute lowest point for the trading day this Friday on the GBP/USD pair was 1.1491. The company has issued a statement outlining that the trades executed via the company’s Thomson Reuters Matching product were at their lowest point at 23:07 GMT on the 6th of October (00:07 UK time).
Various reports about controversial order execution points have been pouring in with some broker’s lowest ask prices ranging below 1.1000 and above 1.2000. Typically thin liquidity during the hours between the market close in New York and the market open in Tokyo has exacerbated what seems to be a ‘flash crash’ across sterling pairs.
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Aggressive algorithmic trading appears to also have contributed to the massive drop in sterling from just above 1.2600 towards the 1.1491 low within 2 minutes.
“Thomson Reuters also publishes Daily Market High and Daily Market Low levels that indicate the high and low traded prices traded for a good amount. For GBP/USD an amount of GBP 5 million has to trade within a 3-minute window for the high or low to be set. This low was 1.1500 and happened around the same time as the absolute low,” the company elaborated in its statement.
Brokers which have executed at lower rates are rushing to reassure their clients, while actively seeking explanations from their liquidity providers about the lower order fill rates.