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Software bug which caused one of our strategies to see its AUM reduced to 0 so it immediately started trading out of all positions. Eventually caught by a turnover limit in the risk layer.https://twitter.com/ellegist/status/1358141733230567424 …
Oh how about trading credit default swaps in the wrong direction because two systems used different conventions for what long and short mean?
This one is not me, but a rounding error which caused a strategy to adjusted its futures hedge up/down by 1 contract every second, again caught by a turnover limit in the risk layer.
Oh god IB does this sort of tomfoolery. Long 1 Short Strangle = Short 1 Long Strangle. Even worse is the long short strangle is colored green and the short long strangle is red despite being the same position.
I worked for an insurance company that owned a bank. The bank brought their mortgage pull through model (used for hedging) for review. It had been backwards w.r.t. interest rate changes for 2 years b/c one system did +1bp, the other -1bp.
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