Nanex ~ 31-Jul-2013 ~ All Hail Ben Bernanke
On July 31, 2013 just before the FOMC meeting annoucement, market liquidity practically disappeared, because only the fastest machines willing to keep orders in the market.
1. eMini (ES) Futures Depth of book every minute of the every trading day between March 2010 and July 31, 2013.
Thick red partial line is today (31-Jul-2013) - near a record low for this time of day.
2. September 2013 eMini (ES) Futures Depth of Book.
3. September 2013 Nasdaq 100 (NQ) Futures Depth of Book.
4. September 2013 Crude Oil (CL) Futures Depth of Book.