Nanex ~ 01-Oct-2013 ~ 3.5 Years of eMini Liquidity
The following chart shows the total number of contracts in all 10 depth of book levels averaged over each minute of the day (9:30 to 16:00 ET) between March 2010 (dark purple) and October 1,
2013 (bright thick red). Older days colored towards the violet end of the spectrum,
while more recent days colored towards the red end. Liquidity has never
recovered to former levels, probably due to increased asymmetry in the trading speed
of participants: for example, faster communication (fiber to microwave) between Chicago
and New York.
See also this page.
1. Liquidity in eMini - March 2010 to October 2013.