NOTICE OF DISCIPLINARY ACTION

FILE NO.: 

CME 16-0403-BC

MEMBER:

Virtu Financial Global Markets LLC

CME RULE VIOLATIONS:

432. General Offenses

It shall be an offense:

Q. to commit an act which is detrimental to the interest or welfare of the Exchange or to engage in any conduct which tends to impair the dignity or good name of the Exchange;

W. for a Member to fail to diligently supervise its employees and agents in the conduct of their business relating to the Exchange.

FINDINGS:

Pursuant to an offer of settlement in which Virtu Financial Global Markets LLC (“Virtu”) neither admitted nor denied the rule violations upon which the penalty is based, on April 17, 2018, a Panel of the Chicago Mercantile Exchange (“CME”) Business Conduct Committee (“BCC” or “Panel”) found that on October 16, 2015, an automated trading system (“ATS”) deployed by Virtu sold the February 2016 Eurodollar futures contract, which ultimately led to a 74-tick price movement. The price movement was the result of a code change that exposed a logic error in the way the ATS offset its Eurodollar Pack position. The Panel also found that although the ATS locked down pursuant to Virtu’s automated risk protocols after the aberrant activity occurred, the firm later mistakenly unlocked the ATS. The restarting of the ATS resulted in further price aberrations. The Panel thus concluded that Virtu thereby violated CME Rules 432.Q. and 432.W.

PENALTY:

In accordance with the settlement offer, the Panel ordered Virtu to pay a fine of $75,000.

EFFECTIVE DATE:

April 19, 2018