Nanex Research

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 to read).

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