Nanex Research

Nanex ~ 17-Dec-2012 ~ Speckled Order Book

More fleeting orders are showing up in the eMini depth of book. The chart below shows the front month (March 2013) ES contract last sale (white in the middle) and 10 depth of book levels. Each level is color coded by the relative size at that price level: red indicating many contracts at that level, and blue indicating few contracts. Recently, starting around 12 noon EST, we started noticing sudden large changes in the number of contracts at a level in the book: these show up as thin red blocks. This is the first time we've noticed this behavior early in the trading session. Typically, we witness algo tests running during the hours of 12pm - 2pm and on pre-holiday trading. Perhaps whatever was being tested, is now in production.

More examples here. Compare with charts showing real liquidity here.

Nanex Research

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