Nanex Research

Nanex ~ 26-May-2014 ~ HFT Roller Coaster Algo Runs in After Hours Gold

1. June 2014 Gold (GC) Futures Top and Depth of Book.
The cumulative size of orders in explodes from a normal 250 to over 2,500 contracts and most of this size is at the top of book (best bid/ask).

2. June 2014 Gold (GC) Futures quote spread.
Note the wild price oscillation between $1275 and $1320.

3. June 2014 Gold (GC) Futures trades.
Trading stops at 13:00

4. June 2014 Gold (GC) Futures quote spread - Zoom 1 of Chart 2.

5. June 2014 Gold (GC) Futures quote spread. Zoom 2 of Chart 2.

6. June 2014 Gold (GC) Futures Depth of Book.

7. June 2014 Gold (GC) Futures Depth of Book.

8. June 2014 Gold (GC) Futures Depth of Book.

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