Nanex 29-May-2014 ~ Bunds, Bobls, and Schatz
On May 29, 2014 shortly after 9:45 (EDT), an algo ran on 3 futures contracts on the
Eurex exchange: the Bund (GBL), Bobl (GBM), and Schatz (GBS), all in the June 2014
1. Trade counts for all Eurex futures on May 29, 2014. Times are EDT.
Note the impact of 1 HFT algo compared to trading activity during the major market impacting
news release at 8:30 (U.S. GDP and Jobless Claims).
2. Bund (GBL) Trades and quote spread over 30 seconds of time.
Each trade at the offer is followed by a trade at the bid. There are 1,445 trades
representing 1,468 contract shown in this 30 second period of time.
3. Bund (GBL) quote spread - zoomed out to 17 minutes of time.
The lower panel shows a count of trades each second. Note how it remains constant during
each of the 3 or 4 instances.
4. Trades in the most active Eurex Futures.
Three contracts stick out - GBL, GBS and GBM.
5. Showing GBL, GBS and GBM.
Note the constant 150 trades per second during the 3 (or 4) groups.
6. Zooming in on 6 minutes of time.
In the first and last groups, only GBL and GBM were active, while the middle group (starting
at 9:47) includes GBS.
7. Zooming in on about 30 seconds of time.
8. Zooming in on 4 seconds of time.
9. Zooming in on 1 second of time.
10. Showing trade sizes by contract.
During the algo's reign, trade sizes were not the same in each contract: 4 contracts
in GBS (green), 1 contract in GBL (blue), and 2 or 3 contracts in GBM (red).
11. Zooming on trade sizes by contract.
12. Zooming in on 1 second of time.