Nanex ~ 27-Aug-2013 ~ 10,000 Fake Orders and Liquidity Evaporation
1. September 2013 eMini (ES) Depth of Book (how
Two (unrelated?) events caught in one image. First, orders to buy about 10,000 eMinis
chased the market higher, then suddenly disappeared without executing. This reminded
us of the CFTC - Panther fine.
Second, and unusually
severe evaporation of orders before the 10 AM (EDT) release of the Consumer Confidence
number. The market didn't react,
but if it had, prices would have moved substantially.
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