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liquidity disappeared
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liquidity disappeared

  #21 (permalink)
Trading Apprentice
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Psy24X View Post
You bet it did! I can remember at least another instance: May 6, 2010 : "the Flash Crash".

Seems those little algos tend to disappear when you mostly need them.

Oh I see, thanks!

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  #22 (permalink)
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Here is some related info, by JP Morgan study:

http://www.zerohedge.com/news/2014-10-20/e-mini-liquidity-has-crashed-40-past-quarter-jpmorgan-finds

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  #23 (permalink)
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gain247 View Post

The JPM study is based on the CME measurement, that can be found here:

http://www.cmegroup.com/education/files/liquidity-monitor-2014-q3.pdf

For the ES, in Q3, the "Depth at the top-of-the-book fell to 479 contracts from 655 contracts". I am wondering what the mark will be by the end of Q4.


Last edited by Psy24X; October 21st, 2014 at 07:11 AM. Reason: Adding info
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  #24 (permalink)
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Psy24X View Post
The JPM study is based on the CME measurement, that can be found here:

http://www.cmegroup.com/education/files/liquidity-monitor-2014-q3.pdf

For the ES, in Q3, the "Depth at the top-of-the-book fell to 479 contracts from 655 contracts". I am wondering what the mark will be by the end of Q4.

http://www.zerohedge.com/news/2014-09-08/these-kinds-market-rigging-practices-will-no-longer-be-allowed-cme

Maybe all the pro HFT folks were right, they provide liquidity to the markets

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  #25 (permalink)
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S&P 500 e-mini futures liquidity dropped to the lowest ever

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Source: VIX Has Never Done This Before... Ever | Zero Hedge

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  #26 (permalink)
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Emini volume fell off a cliff as NY Ebola Headline hits

2:59pm on Oct 23rd 2014
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Source: https://twitter.com/nanexllc/status/525360859313635328/photo/1

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  #27 (permalink)
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JustinIsHere View Post
2:59pm on Oct 23rd 2014
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Source: https://twitter.com/nanexllc/status/525360859313635328/photo/1

Simply risk off from algos. Some algos scan news. They go risk off on ebola. Their risk off causes other risk off from other algos even that don't read news. Cascade so on so forth.

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"In short: the simple reason why there is no more liquidity in cash Treasury securities (Treasury futures are a different matter entirely) is because the Fed is now the proud owner of a majority stake of what once was the most liquid maturity across the most liquid bond market in the world."

The One Table That Explains Why There No Longer Is Any Treasury Liquidity | Zero Hedge

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"Turn Those Machines Back On" - The Day The Bond Market Died (If Only For A Few Minutes) | Zero Hedge

"Four years later, on October 15 2014, the HFT hammer struck again, only this time it wiped out liquidity in the world's supposedly biggest and most liquidi market: the US bond market."

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  #30 (permalink)
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Flash Boys Raising Volatility in Wild New Treasury Market


Flash Boys Raising Volatility in Wild New Treasury Market - Bloomberg

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