Nanex ~ 02-Oct-2013 ~ The Fickle Nature of HFT Liquidity
You never know when buy orders are placed for execution, and when they are placed to
give the appearance of support: the chart below illustrates the latter. When prices
fall and approach these buy orders, they are canceled and never executed. When prices
rebound, they return. This encourages short term volatility, because if you want to
sell a large amount, you have to do so immediately before those orders disappear.
See also this page.
1. December 2013 eMini (ES) Futures Depth of Book (how