How Today's Non-Farm Payroll Release Looked To An Algo

Tyler Durden's picture

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.

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Pure Evil's picture

Are you sure the algos were only jerking their knees?

GetZeeGold's picture



I was there....those algos were seriously freakin out man.


Can't blame them.....they just weren't programmed for that crap.

DeadFred's picture

Curious how the liquidity disappears before the 8:30 announcement. The algos must be psychic.

ZeroPower's picture

There's nothing wierd about book depth decreasing to virtually nil before major econ announcements such as NFP or rate decisions. Algos psychic? Hardly. The fact that liquidity dries up in fact proves that nobody (besides the lucky few i guess one can argue...) knows what the number will be, thereby removing all bids and offers in the book. If the algos knew the jobs number was a big beat or a big miss, they would quickly jump to one side of the book in order to capitalize on the insider info.

While this post certainly proves liquidity is horrendous moments before a major data point, it hardly shows anything to blame the algos on, besides the fact that they are only liquidity providers when they choose to be. Every trader on the floor pulls their orders too lest they get fucked on a major point of inflection such as a big unforseen print, like last Friday.

fonzannoon's picture

what happens when that japanese bond market opens Sunday. That's what I want to know.

Cdad's picture

What happens...Kuroda issues a great big "kidding"?  Maybe he makes a paper mache patch?  Perhaps, he announces that the public MUST buy with him, and doubles down on what caused the crash to being with [that thing being blinding monetary stupidity]?  Or maybe the thing just crashes...and rates double again every 5 fanta seconds?  I know, he simply closes the market.......again?  

How long have JGBs been increasing in price now...20 years?


Yen Cross's picture

 Fonz, every single (duration) of debt will be purchased.  usd/jpy 100 and beyond. Hedge accordingly<

newengland's picture

When a country has the means to print digitally or manually, it is only a matter of whether politicians buying votes choose to do so, and the usurious globalist central bank cartel will oblige.

QE to infinity, as most people do not understand how that will ruin them.

No honor among thieves in .gov and commercial banks.

Yamaha's picture

Yes - but it doesn't matter - the JGB and Fed will directly or indirectly buy the stock indexes.....problem solved ....all is well.

otto skorzeny's picture

WTF is going on w/ NG? is this a POMO thing to keep the price from cratering and associated NG jobs that will be lost.

Lore's picture

Bakken production is nearing the end of a plateau and about to drop off a cliff.  All those hundreds of new wells are turning out not to be the cornucopia that Americans were promised during the election. The main beneficiaries of 75% price suppression were drilling companies and cronies of Dick Cheney.  As usual, the trail left behind is one of environmental devastation and industry in disarray. Natural gas is going to get a LOT more expensive, manipulation (corruption) and currency debasement notwithstanding. I talk with people in the Canadian oil and gas industry. They're ramping up to go after deep fields missed during the last boom back in the 80s -- just waiting for the price to go back up to a level where new wells are economical. 

Naturally, the God-Complex "green" goofballs will try to stop the market from working. Whether they succeed in driving prices cosmic is up to you. 

FreeMktFisherMN's picture

inflation, in addition to the supply idiosyncrasies. 

Lore's picture

That's what I said.

I wonder why people score me negatively. i can back up everything in the paragraph with scary evidence.

Widowmaker's picture

Nobody comes here to agree with you.

Quinvarius's picture

To respond negatively to your post would create a troll paradox.

GetZeeGold's picture



Post  responsibly.....only you can avert a paradox.

akarc's picture

I gave ya some ups cause yer right. Both the Navy and the air force recognized this years ago and have made a push towards alternative fuels. Google it. My brother in law a retired naval captain (made is chops at sea duty and an assignment to USSR) who now works for a contractor spends his time evaluating new ship designs and their abilitiy to convert to alternative fuels when needed. Many retrofits going on. 

Shale returns are not predictable. Drilling becomes increasingly expensive. The amount of water used isnt justifiable.

Of course all this can be solved and boo coo jobs created with a national shift to Natural gas. But of course we prefer just burning it off rather than use it.

Or exporting it to other countries. 

Oh yeah we do have ethanol which of course can be produced more cheaply by Brazil at less risk to our own food source. But then why use them we can just destroy our own country.

Would this be where Stossel says, "Give me a break!"


bottomdrawer's picture

Go back to bed with Al Gore please....or at least the backseat of his hybrid.

newengland's picture


It has become appallingly obvious that our technology has exceeded our humanity, said Albert Einstein.

He also said that there would be a world of idiots if technology ruled.

He is a genius. Look and learn.

Is a genius because you cannot kill an idea, an ideal, truth.


Cabreado's picture

The man had humility...

in the context of progress and profits, too, that's the holy grail...

and the only thing that keeps it all from crashing down.


mendigo's picture

But I think maybe Tyler is turned-on by steep declines.
Steep or gradual it gets the job done.
Its like a seismic chart.

AlaricBalth's picture

Nanex's charts remind me of Joan Miro's experimental art pieces. Surreal and sublime, each tells quite a story.

EclecticParrot's picture

Looks more to me like the work of Paul Klee --  that is, if he were accidentally electrocuted while working with day-glo paints.

francis_sawyer's picture

Looks more like the goddamned Lawnmower Man on purple microdot...

fuu's picture

That does not sound like a fun afternoon really.

Yen Cross's picture

     Flashes of light.  Not so much?

newengland's picture


We are fortunate. No surrender to robots. The payroll number ruins many,, yet DC and Wall St Parties on.

lolmao500's picture

Unemployment report in Canada was awful.

nmewn's picture

"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."...

...having been built & programmed by certified schizophrenics.

Ineverslice's picture


Yen Cross's picture

 nmewn knows what he's talking about.   I'm not trying to put you down in any way.

ebworthen's picture


One of We's picture

Valuation of equities by any traditional means is passe. The modern stock market is driven by algorythms "living" on high performance hardware and as close to light-speed bandwidth as possible. The industrial revolution is followed by the knowledge revolution and the "geeks" prepare the algo's in their caludrons that the dinosaurs are chasing....Word to the wise (and smart) switch from finance major to math or computer science....

One of We's picture

Actualy should've said "word to the sheep" instead of "word to the wise."  Pretty sure the wise have already packed up their family, food, guns & ammo and headed to the hills.......

newengland's picture

The wise tend sheep. Life is a team effort. One for all. All for one.

newengland's picture

Word to the wise:the BIS is aware of your shenanigans. Never underestimate old ways.

Nanex exposes the robots, the Brave New World of moneygrubbing sociopathic cheats.

Crash Overide's picture

Old tricks are the best tricks...

digalert's picture

Love those NANEX charts.

P.S. I noticed ZH top headline on Drudge today. +1 keep up the good work.

EclecticParrot's picture

I wonder how Brigitte Bardot, circa 1955, would look to an algo . . .

GMadScientist's picture


EclecticParrot's picture

Yes, that's just what I'd expect -- a hexidecimal cat call, in French.

Yes_Questions's picture



Good to know skilled people are in charge