02-Aug-2012 ~ eMini Depth of Book
Danger Will Robinson
The following chart shows the total number of contracts for all 10 depth of
book levels averaged over each minute of the day between April 1, 2010 (dark purple)
and August 2, 2012 at 12:15 (bright red). Older days colored towards the violent
end of the spectrum, while more recent days colored towards the red end. August 2nd shows a significant drop indicating a loss of liquidity which leads to increased short-term volatility.
HFT is Killing the EMini.