Nanex Research
Nanex 02-May-2014 ~ Treasury Futures Halt or Overload
On May 2, 2014 at 8:30:05, right after release of the Non-farm Payroll number, quotes
and trades
in Treasury futures from CBOT halted for about 10 seconds. Sequence numbers
before and after the event indicate no data was dropped. What is unsual about this event
is that quotes also stopped updating - indicating a possible system issue at the exchange.
Update 13:00
The
CME indicated that a backup process was triggered which caused a delay in matching
Treasury and Fed Fund Futures.
1. June 2014 5 Year T-Note Futures (ZF) Trades and quote spread.
You can clearly see the gap.
2. June 2014 5 Year T-Note Futures (ZF) Quote spread and Quotes per second.
It is unusual to see a gap in quotes - this indicates a different issue - not
a normal trading halt.
3. June 2014 DJIA eMini (YM) futures trades and quote spread.
Also traded at "CBOT" - but doesn't have the gap.
4. June 2014 most active treasuries: Ultra T-Bonds (UB), T-Bonds (ZB), 10 Yr T-Notes (ZN), 5 Yr T-Notes (ZF), and 2 Yr T-Notes (ZT). Note the gap at 8:30:05.
5. Zoom of chart 4 above.
6. Most active Futures contracts.
7. Zoom of chart 6 above.
Nanex Research
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