Nanex ~ 01-May-2012 ~ eMini Depth at 10 am
The 10am news release of
ISM Mfg Index and
Construction Spending caused a significant evaporation in the S&P electronic
futures depth of book starting about 2 minutes before the event
01-May-2012 ES.M12 Price and Size Depth of book plus volume.
01-May-2012 ES.M12 Price and Size Depth of book.
Minimum sum of bid and ask depth of book January 2011 through 01-May-2012.
The thicker red line is May 1, 2012. Note the level was lower than usual since the open. The falloff at 10am is typical (though low) for a 10am news day.
SPY 1 Minute Inteval Chart
Market Data Peaks shows the 10 am spike
From Market Data Peaks.