Nanex ~ 03-Mar-2014 ~ eMini Liquidity Alert
Liquidity in the March 2014 eMini Futures Contract collapsed along with prices about
2 minutes before 10am news.
Update: March 5, 2014 - It happened again.
1. March 2014 eMini (ES) Futures Depth of Book (how to read).
2. Same contract on March 5, 2014 (2 days later).
Another drop on high volume minutes before the 10am news.