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).
- 12:12:12 + 17 seconds
- 12:14:12 + 120 seconds
- 12:15:27 + 75 seconds
- 12:18:12 + 165 seconds
- 12:20:53 + 161 seconds
1. November 2013 Crude (CL) Futures depth of book (how
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.