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The Hong Kong Futures Exchange (HKFE), a wholly-owned subsidiary of Hong Kong Exchanges and Clearing Limited (HKEx), has declared H-Shares Index futures (HHI futures) trades at or below the price of 12350 between 10:00 am and 10:01 am today (Thursday) as error trades under Exchange Rule 819B.
Under the rule, if a trade takes place on HKATS at a level which deviates from the price parameters set by HKFE, it will be subject to the error trade claim. The existing error trade parameter is 3 per cent for equity index futures contract.
An Exchange Participant who input an error order and triggered a series of error trades has claimed the error trade. As a result, all trades on HHI futures executed at 12350 or below between 10:00 am to 10:01 am today, about 169 trades involving 606 contracts, were cancelled. A total of 29 Exchange Participants were affected and 16 of those Exchange Participants were the sellers.
Exchange Participants are aware of the error trade rules and parameters from past practice and their publication in the rulebook. The estimated amount involved in the error trades was about $12 million.
The market data was adjusted during the lunch break.
