Courtesy of Nanex, here are several depth of market charts showing how today's NFP number looked like through the eyes of the kneejerk response algos, and how quantized, sub-millisecond jumps in the "market" appear like in a day and age when virtually all the trading done is that by robots. And, oh yes, a statistically "noisy" number, such as today's jobs which is entirely lost in the seasonal adjustment, just somehow manages to wipe out all the market liquidity for what to a robot is an eternity. What happens when the shock is not just statistical noise?
1. eMini futures (ES) Depth of Book during scheduled Employment Situation news release.
2. Nasdaq-100 futures (NQ) Depth of Book during scheduled Employment Situation news release.
3. Gold futures (GC) Depth of Book during scheduled Employment Situation news release.
4. Crude Oil futures (CL) Depth of Book during scheduled Employment Situation news release.
5. Finally, US jobs matter... In the Netherlands. Dutch AEX Index futures (FTI) Depth of Book during scheduled Employment Situation news release.
