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The following images show CME's emMni future (S&P 500) depth of book
and trades. The images are rainbow (ROYGBIV) color coded by the relative size
at each depth level. Red indicates a lot of size, violet indicates size
approaching 0. Note that a full minute before each event, the depth starts
cooling rapidly. The volume of contracts traded is represented at the bottom of
the chart. Note the spike in volume at precisely 9:54:58.
Update March 8, 2012
This event is caused by the release of the
Michigan Consumer Sentiment number at 9:55am twice a month. Apparently a premium
subscription (approx $5,000) is available which provides a 2 second early release
of this number. |
| The image below is a 100ms interval chart of the S&P 500 ETF, symbol
SPY. The shadings indicated the National Best Bid Offer and are color coded
depending on whether the market is normal, locked or crossed (see legend
below). The dots represent trades and are color coded depending on the
reporting exchange. The size of the dots indicates the relative size of the
trade. |
- Gray : Normal
- Yellow: Locked Market. Best Bid equals Best Ask at some point within the
interval.
- Red: Crossed Market. Best Bid less than Best Ask at some point within the
interval.
Exchange Code Legend:
| 1 |
NQEX |
Nasdaq Exchange |
| 3 |
NYSE |
New York Stock Exchange |
| 4 |
AMEX |
American Stock Exchange |
| 5 |
CBOE |
Chicago Board Options Exchange |
| 6 |
ISEX |
International Securities Exchange |
| 7 |
PACF |
NYSE ARCA |
| 8 |
CINC |
National Stock Exchange |
| 9 |
PHIL |
Philidelphia Stock Exchange |
| 11 |
BOST |
Boston Stock/Options Exchange |
| 17 |
CHIC |
Chicago Stock Exchange |
| 59 |
NTRF |
NYSE Trade Reporting Facility |
| 60 |
BATS |
BATS Trading |
| 63 |
BATY |
BATS Y Exchange |
| 64 |
EDGE |
Direct Edge A |
| 65 |
EDGX |
Direct Edge X |
| |
Inquiries: pr@nanex.net
Publication Date: 06/16/2011
http://www.nanex.net
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