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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Fri, 04/05/2013 - 21:29 | 3415134 Pure Evil
Pure Evil's picture

Are you sure the algos were only jerking their knees?

Sat, 04/06/2013 - 09:41 | 3415871 GetZeeGold
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.

Sat, 04/06/2013 - 14:09 | 3416525 DeadFred
DeadFred's picture

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

Sun, 04/07/2013 - 09:10 | 3418186 ZeroPower
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.

Fri, 04/05/2013 - 21:29 | 3415137 fonzannoon
fonzannoon's picture

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

Fri, 04/05/2013 - 21:41 | 3415178 Cdad
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?


Fri, 04/05/2013 - 21:52 | 3415200 Yen Cross
Yen Cross's picture

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

Fri, 04/05/2013 - 22:08 | 3415233 newengland
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.

Sat, 04/06/2013 - 00:17 | 3415478 Yamaha
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.

Fri, 04/05/2013 - 21:31 | 3415143 otto skorzeny
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.

Fri, 04/05/2013 - 21:58 | 3415188 Lore
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. 

Fri, 04/05/2013 - 23:15 | 3415251 FreeMktFisherMN
FreeMktFisherMN's picture

inflation, in addition to the supply idiosyncrasies. 

Sat, 04/06/2013 - 00:56 | 3415527 Lore
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.

Sat, 04/06/2013 - 08:17 | 3415798 Widowmaker
Widowmaker's picture

Nobody comes here to agree with you.

Sat, 04/06/2013 - 09:27 | 3415860 Quinvarius
Quinvarius's picture

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

Sat, 04/06/2013 - 09:58 | 3415874 GetZeeGold
GetZeeGold's picture



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

Sat, 04/06/2013 - 09:55 | 3415887 akarc
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!"


Sat, 04/06/2013 - 15:13 | 3416689 bottomdrawer
bottomdrawer's picture

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

Fri, 04/05/2013 - 21:37 | 3415165 newengland
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.


Fri, 04/05/2013 - 22:38 | 3415290 Cabreado
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.


Sat, 04/06/2013 - 00:13 | 3415475 W74
W74's picture


Fri, 04/05/2013 - 21:39 | 3415174 mendigo
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.

Fri, 04/05/2013 - 21:57 | 3415209 AlaricBalth
AlaricBalth's picture

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

Fri, 04/05/2013 - 22:41 | 3415307 EclecticParrot
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.

Fri, 04/05/2013 - 23:20 | 3415373 AlaricBalth
AlaricBalth's picture

+1 Very Good.

Sat, 04/06/2013 - 05:37 | 3415689 francis_sawyer
francis_sawyer's picture

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

Sat, 04/06/2013 - 12:10 | 3416232 fuu
fuu's picture

That does not sound like a fun afternoon really.

Fri, 04/05/2013 - 21:42 | 3415179 Yen Cross
Yen Cross's picture

     Flashes of light.  Not so much?

Fri, 04/05/2013 - 21:50 | 3415195 newengland
newengland's picture


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

Fri, 04/05/2013 - 22:01 | 3415225 Yen Cross
Yen Cross's picture

     newengland If you say so. 

Fri, 04/05/2013 - 22:10 | 3415239 newengland
newengland's picture

or know so :-)

Fri, 04/05/2013 - 22:24 | 3415268 Yen Cross
Yen Cross's picture

 Short gbp/usd .  newengland   The timing is your, responsibility.

Fri, 04/05/2013 - 23:57 | 3415442 newengland
newengland's picture

Ta for the tip, Yen.

Sat, 04/06/2013 - 01:02 | 3415532 Yen Cross
Yen Cross's picture

 next tuesday/

Fri, 04/05/2013 - 21:44 | 3415186 lolmao500
lolmao500's picture

Unemployment report in Canada was awful.

Fri, 04/05/2013 - 21:46 | 3415192 nmewn
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.

Fri, 04/05/2013 - 21:52 | 3415202 Ineverslice
Ineverslice's picture


Sat, 04/06/2013 - 01:05 | 3415213 Yen Cross
Yen Cross's picture

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

Sat, 04/06/2013 - 03:45 | 3415637 ebworthen
ebworthen's picture


Fri, 04/05/2013 - 21:50 | 3415198 One of We
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....

Fri, 04/05/2013 - 21:53 | 3415203 One of We
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.......

Fri, 04/05/2013 - 21:59 | 3415214 newengland
newengland's picture

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

Fri, 04/05/2013 - 21:54 | 3415206 newengland
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.

Sat, 04/06/2013 - 10:44 | 3415965 Crash Overide
Crash Overide's picture

Old tricks are the best tricks...

Fri, 04/05/2013 - 21:57 | 3415205 digalert
digalert's picture

Love those NANEX charts.

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

Fri, 04/05/2013 - 22:45 | 3415312 EclecticParrot
EclecticParrot's picture

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

Sat, 04/06/2013 - 07:08 | 3415754 GMadScientist
GMadScientist's picture


Sat, 04/06/2013 - 07:54 | 3415784 EclecticParrot
EclecticParrot's picture

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

Fri, 04/05/2013 - 23:07 | 3415342 Yes_Questions
Yes_Questions's picture



Good to know skilled people are in charge

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