Nanex Research

Nanex ~ 16-Apr-2013 ~ Influencing Prices

1. June 2013 eMini Futures Depth of Book.
The cumulative size of buy orders at 10 different prices (levels) below the market, and the cumulative size of sell orders at 10 different price levels above the market, are color coded from blue to red according to relative number of contracts. Blue indicates orders for few contracts, and red indicates orders for many contracts. Note how market prices (white dots/lines in center) appear to be influenced by large orders: large buy orders (red blocks below) that appear just below the market causes the price to drift higher, while large sell orders just above the market causes the price to drift lower. Very few (if any) of these influencing orders result in trade executions. This is a new phenomenon that has been growing since late last year.

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