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Over the years, we have noticed that 10:00:00 is commonly the peak in
market activity for the trading day. Digging through several years of our data,
we have discovered a few interesting things.
During these events, it appears someone sells (or buys) a few thousand eMini
contracts immediately, which clears out 3 to 5 levels of the bid (or ask) side
of the book. On many of these occasions, there is a simultaneous event in
related ETFs such as SPY, IWM, QQQ. We are pretty sure this is not arbitrage --
taking speed of light between Chicago and NY into account, the two events
appear simultaneous. 25 - 100ms later of course, there is arbitrage when the
rest of the market reacts to the initial event. All this together of course
adds up to an explosion of data, as thousands of equities, and 10's of
thousands of options immediately update.
We've also found another anomaly: on the 2nd, 3rd or 4th Friday of every month,
at exactly 9:54:58. the same type of event occurs.
It seems that both of these events are anticipated. The following images show
the emini future (ES.MYY) depth of book and trades. The images are color coded
(ROYGBIV) by the size at each depth level. Red indicates a lot of size, violet
indicates size approaching 0. Note that a full minute before each event, the
depth starts cooling rapidly. |
The event on March 17, 2011:
The images above are typical of all these events.
Here's the event on September 16, 2010:
Here's the event on December 16, 2010:
One example of the 9:54:58 event:
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