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The eMini 9:54:58 Event.

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The following images show CME's emMni future (S&P 500) depth of book and trades. The images are rainbow (ROYGBIV) color coded by the relative 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 volume of contracts traded is represented at the bottom of the chart. Note the spike in volume at precisely 9:54:58.

Update March 8, 2012
This event is caused by the release of the Michigan Consumer Sentiment number at 9:55am twice a month. Apparently a premium subscription (approx $5,000) is available which provides a 2 second early release of this number.

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The image below is a 100ms interval chart of the S&P 500 ETF, symbol SPY. The shadings indicated the National Best Bid Offer and are color coded depending on whether the market is normal, locked or crossed (see legend below). The dots represent trades and are color coded depending on the reporting exchange. The size of the dots indicates the relative size of the trade.

  • Gray : Normal
  • Yellow: Locked Market. Best Bid equals Best Ask at some point within the interval.
  • Red: Crossed Market. Best Bid less than Best Ask at some point within the interval.

Exchange Code Legend:

1 NQEX Nasdaq Exchange
3 NYSE New York Stock Exchange
4 AMEX American Stock Exchange
5 CBOE Chicago Board Options Exchange
6 ISEX International Securities Exchange
8 CINC National Stock Exchange
9 PHIL Philidelphia Stock Exchange
11 BOST Boston Stock/Options Exchange
17 CHIC Chicago Stock Exchange
59 NTRF NYSE Trade Reporting Facility
60 BATS BATS Trading
63 BATY BATS Y Exchange
64 EDGE Direct Edge A
65 EDGX Direct Edge X


Publication Date: 06/16/2011

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