Nanex Research

Nanex ~ 31-May-2013 ~ Chicago PMI

At 9:42:00, the Chicago PMI is released to premium subscribers (most are large high frequency traders).

During just 1 second of time at 9:42:00, the following high trade counts popped up on our monitors (approximately):
Trading in SPY and ES Futures both began at 9:42:00.002. Since SPY is traded in NYC and ES Futures are traded in Chicago - both separated by about 5 milliseconds due to the speed of light, this news release was carefully timed to be delivered simultaneously in NYC and Chicago. 

Video showing trade and quote activity in SPY during the first 100 milliseconds of the news release.

1. SPY Trades color coded by exchange and NBBO. Chart shows just 125 milliseconds of time.
The trading explosion started at 9:42:00.002 and was pretty much over within 25 milliseconds. The move was actually much faster, but exchange networks saturated from all the trade and quote traffic.

2. June 2013 ES Futures showing trades and quote spread. Compare to chart 1 above.

3. SPY Trades color coded by exchange. Zooming out, showing about 18 minutes of time.

4. June 2013 eMini Futures Depth of Book.

5. Trades from about 8000 NMS stocks between 9:41:47 and 9:42:14.

6. Trades from about 8000 NMS stocks between 9:41:47 and 9:42:14 - Zoom of Chart 5.

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