Nanex Research

Nanex ~ 02-Oct-2012 ~ Ellusive EMini Depth

1. ES December 2012 trades and Depth of book levels.
Note: when the price drops, orders are cancelled at lower bid levels, indicating fake liquidity

2. ES December 2012 trades and Depth of book levels.
Another view about an hour later. The scattering of liquidity at further out levels is even more noticeable.

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