Nanex Research

Nanex ~ 16-Oct-2013 ~ Crude Timings

On October 16, 2013 around noon Eastern Time, there were several seconds with large immediate buy orders executing in crude: This looks like a timed buy algo (from someone fascinated by the number 12).

1. November 2013 Crude (CL) Futures depth of book (how to read).
Numbered labels correspond to tick charts below. Bottom panel shows maximum depth for each second. Note the unusual increase in liquidity after each jump. This is due to the buy algorithm stopping after clearing about 10 levels, and placing a large buy order at the new top bid level.

2. Tick Charts - Zooming into the areas labeled 1-6 in the chart above.


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