March 15, 2012 ~ ES.H12 (S&P 500 electronic futures) Depth of Book Liquidity Evaporation
Ahead of News.
Top panel shows last sale and 10 depth of book bid levels and offer levels. Levels
are color coded by how many contracts are at that price. Bottom panel shows the size (number
of contracts) at each depth level and is color coded by level. Note the evaporation
of liquidity (loss of size) during the minute before 10 am, when a
scheduled market moving news event took place (the Philadelphia Fed Survey).