On the morning of 11 June, EUR/USD dislocated across three major venues for 340 milliseconds. Most retail platforms reported it as a routine spike. Our post-trade replay tells a very different story.
Reading the tape
When we align the order books tick by tick, the event resolves into three distinct phases: a burst of cancels on venue A, a partial reprint on venue B, and a synthetic bid on venue C that lasted just long enough to trigger stop-hunts across the retail book.
- T+0ms — cancel burst on venue A, top-of-book thins
- T+120ms — venue B reprints wider, spread expands 4x
- T+210ms — venue C posts a synthetic bid, retail stops trigger
- T+340ms — books reconverge, spreads normalise
// Fix
The correction is not more speed. It is a router that treats a burst of cancels as an information event, not a routing input.