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Stats › Intraday et microstructure de marché › A layering case

In the best documented layering case the regulator found no significant effect on the price

Large orders, cancelled unexecuted: 96.5%+96.5%Large orders, cancelled unexecutedLarge orders, fully executed: 0.1%+0.1%Large orders, fully executedSmall orders, cancelled unexecuted: 37.0%+37.0%Small orders, cancelled unexecutedSmall orders, fully executed: 44.5%+44.5%Small orders, fully executed

Brent crude futures on ICE Futures Europe, 6 September to 18 October 2011. Large orders are over 50 lots, small orders 10 to 20 lots. Across all orders, 88.5 per cent were cancelled with no execution and 9.7 per cent were fully executed. These are counts from an enforcement document and carry no significance statistic.

A 2013 final notice quantifies a layering pattern in oil futures: large orders cancelled unexecuted 96.5 per cent of the time against 44.5 per cent of small orders fully filled. The same notice states there was no significant impact on the price.

96.5%Large orders cancelled with no execution
44.5%Small orders fully executed
40 lots against 2Average large order size against the market average
USD 279,920Net profit over six weeks

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