This page has been archived and commenting is disabled.

The Ultimate Chartbook Of The Most Important FOMC Meeting Ever

Tyler Durden's picture





 

Wondering what a 'market' looks like up, close, and personal in the seconds before, during, and after this week's "most important FOMC meeting ever." From SPY's 50-second lead on the news release to VIX's gap, and from crossed markets to e-mini futures leading the premature charge, Nanex's charts are a smorgasbord of SEC-inspiration...

 

Via Nanex,

Close-up charts in SPY (mostly) around the 2pm Federal Reserve FOMC news release on December 19, 2013.

SPY - jumps 50 seconds early. Each dot is a trade. There was more activity in this time period, than during the actual news release.



The bid/ask spread got a bit tipsy..

This one-second zoom shows a confused bid/ask spread. What is the bid/ask spread here? What does it matter? Who cares!



2pm is near, prepare the VIIX!

Not only does the NBBO in VIIX widen from pennies to dollars, but it flutters hundreds - sometimes thousands - of times in a second! No trading though, so that's good. More is always better, right? Wait, did you say no trading? That's bad.



What took you so long? Market reacts hundreds of millions of nanoseconds later than last time.

SPY drops sharply about 488 Million nanoseconds later than last time.



Do you really want to look at this close, under bright lights?

Zooming in on 1 second of trading (shade is NBBO spread). Multiple buying and selling waves - buyers and sellers must keep missing each other.



How about that Quote spread?

What exactly is the bid/ask spread in SPY during this one second? How do you measure it? Was there any trading going on? Who cares!



How about that trading!

The same second of time, but showing trades in SPY executing all over the bid/ask spread. Lots of trades. Trading is good! 



About 91 seconds later, give or take a few million microseconds, this happened:

SPY tumbles in heavy trading. This is just 200 milliseconds of time, literally the blink of an eye. The red shading indicates where the NBBO is crossed (the bid from one exchange higher than the offer from another). Regulations prohibit crossed NBBO's, so this didn't really happen: you didn't see any red shading here.



It was the eMini's fault!

Here's the same time period as chart above, but showing trading in the eMini futures which takes place in Chicago - a city that is a few million nanoseconds away.



More to and fro trading in SPY...

Down one second, back up 2 seconds later. The people can't decide what the news means. But there is trading, and trading is good!



One Exchange starts dragging behind, it must be getting late..

The blue diamonds are late trade reports from Direct Edge. Naughty, naughty.



When the dark pools start dragging, it's time to close.

Green dots are trades reported by dark pools - clearly running many seconds behind.



 

 


- advertisements -

Comment viewing options

Select your preferred way to display the comments and click "Save settings" to activate your changes.
Fri, 12/20/2013 - 21:25 | Link to Comment prains
prains's picture

man these guys are good, what a shit show

Fri, 12/20/2013 - 21:54 | Link to Comment HUGE_Gamma
HUGE_Gamma's picture

I dont think this particular event is a good example to be looking into quote data for proof of leak. Having a flash sneak peak a minute of two early wouldnt give me a conviction that (the market was going to roar higher in this case). There are always idiots going long and short right before an event. 

 

Some NFP releases, the headline number is important.. but in this case, you wouldnt be able to understand the entire FOMC statement with just the headline "tapper has begun". Even having the written statement a day early wouldnt tell me what the market reaction would be for certain.. Was I "sure" the market would have roared higher if "no tapper" was announced? What did I think the day before about a possible 10bn tapper? I even thought that a no tapper taking stocks down was possible. What happened was SPY traded up, then slammed down (too heavy support at ~177 SPY)for a good minute before trending higher.. If the conspiracy is that it was slammed down to take out stops .. that seems like normal trading to me

Fri, 12/20/2013 - 21:57 | Link to Comment ReactionToClose...
ReactionToClosedMinds's picture

would agree with you for purpsoes of 'practicalities' and typical ebb/flow especially with bot trading impacts ......  but the red shading .... hmmmm ....... but then, like the CFTC, you can always blame Congress as they are perpetually underfunded ...... and Jon Corzine is presumed innocent of course

Fri, 12/20/2013 - 23:41 | Link to Comment disabledvet
disabledvet's picture

i defer to the TD's on this one but my understanding is that this type of activity is permitted because of the way this concept is understood: http://en.wikipedia.org/wiki/Price_discovery says right there: "a price happens in the future." that says to me whatever is leading up to the trade is irrelevant once the actual trade occurs. in short...so to speak..."the price is the price." and if you are trading on what you believe to be "the insider view" (what happens before the price is the price) and the actual view ("what happens once the price is determined") then obviously "you will be forced to cover if the price as actually established is the opposite of what you think it will be" thus getting strangled all the way up 300 points until you either submit or expire or vice versa. http://www.youtube.com/watch?v=D9N1jxstaKA welcome to the Octagon.

Fri, 12/20/2013 - 21:53 | Link to Comment ReactionToClose...
ReactionToClosedMinds's picture

surreal ...

thank you Nanex and ZH ...... we can all sleep restfully this weekend and holiday season.   Of course, our crack fianncial news media is all over this right?   Nah, it might upset the 'wealth management' crowd the bulk of their readers  and wake up retail folks .... apart from whether the fin jounalists even have a clue about this.  Senior traders know..... when the wind blows cold .... who is your counter-party?

Fri, 12/20/2013 - 21:52 | Link to Comment ReactionToClose...
ReactionToClosedMinds's picture

fat finger double post

Sat, 12/21/2013 - 08:29 | Link to Comment Debt-Is-Not-Money
Debt-Is-Not-Money's picture

"fat finger double post"

Is this a demonstration of your skills- trolling for a job offer from one of the "big guys"?

Ha Ha

Fri, 12/20/2013 - 21:53 | Link to Comment Number 156
Number 156's picture

..you didn't see any red shading here.

Porn sites were busiest during that phase.

Fri, 12/20/2013 - 21:54 | Link to Comment lineskis
lineskis's picture

Nice chart p0rn. Thank you Nanex!

Fri, 12/20/2013 - 22:38 | Link to Comment are we there yet
Fri, 12/20/2013 - 23:31 | Link to Comment starman
starman's picture

Can we put up a chart of the phone calls from the senate members to their preferred brokerage firms? NSA? Anybody?

Sat, 12/21/2013 - 00:35 | Link to Comment disabledvet
disabledvet's picture

you still have a "weather trade" interestingly. but that might be the last trade to wither with so much liquidity sloshing around at this point. in other words the "freq show" (the HFT folks) are "giving away the store" before the bank has committed a single dollar. (trading on "outside information" so to speak.) http://en.wikipedia.org/wiki/Network_security "communication between two hosts may be encrypted to maintain privacy" struck me as important. really? "and how the hell do i do that?" by definition in a network "there is always a third party." (the network provider...et al.) Here's a classic example: http://www.satansrapture.com/satanseed.htm the whole alien space ship thing seemed a little out there, but here's my point: i find "peer to peer computing" rather ironic. you still have to have a network provider. well, who's in charge of that thing? http://www.youtube.com/watch?v=62Qfbrc1jdo that's why i love this scene in Star Trek (apologize for being pedantic...by all means i hoped everyone stopped reading me 5 years ago actually) : http://www.youtube.com/watch?v=PR2v62mfdX4 "she explains to the Admiral not regulations but protocol." if Spock were truly "logical" he would have understood the difference between "regulation" and "protocol." in other words "one is always to be reminded of protocol" and Spock should have kept his "logical pie hole" shut. "And being a good humanoid Kirk should have told so called logical Mr. Savik that's not regulation but a protocol you Vulcan dope...but in fact you're right. Protocols are always to be followed...raise shields." in other words by definition "all networks are insecure" and therefore since all communications can only happen in the future "one must follow the proper protocols before ever deciding to have a chat." that's why the wintel form factor strikes me as very important...it uses the http format...the letter "p" meaning protocol...before establishing communications on what clearly is their network. in short i know who exists to create the network security...and that would be Microsoft and Intel...THEY own the network...not AT&T, not the Government. This is not to say we're not spied upon...just saying from a PROPERTY point of view...you're trespassing if you're hacking into the network...let alone creating a virtual "http://en.wikipedia.org/wiki/Phreaking and http://en.wikipedia.org/wiki/Party_line_(telephony) the latter or what is called "bridging" is what pretty much exists "en toto" today. all of our communications are "bridged" or turned into a party line. which brings up the question of "what is the counter-party to the Party Line"? just guessing but that would almost certainly be...the NSA, the FBI, the CIA, the DoD, Homeland Security, the Office of the White House, Congress, the Supreme Court, NASA...etc, etc.

Sat, 12/21/2013 - 09:09 | Link to Comment DavidC
DavidC's picture

Interesting piece here about why, given the sell offs on suggestions of a taper in the weeks/months ahead of it, the announcement of a taper resulted in new record highs in the stock 'market'.

http://wallstreetonparade.com/2013/12/why-didn%E2%80%99t-the-stock-marke...

Manipulations? Nah!
http://www.paulcraigroberts.org/2013/12/20/manipulations-rule-markets-pa...

DavidC

Sat, 12/21/2013 - 10:15 | Link to Comment BrigstockBoy
BrigstockBoy's picture

Eric Hunsader, shining the light in dark places. Are Nanex and ZH the only reliable truth-tellers today?

Sat, 12/21/2013 - 12:14 | Link to Comment GreatUncle
GreatUncle's picture

488 Million nanoseconds, 488 thats easy, Million 10^6,Nano seconds 10^-9

So 488 Million nanoseconds = 488 x 10-3 seconds that is 488 milliseconds well 500 milliseconds is half a second.

Perspecitve being punted on this is nanoseconds, not denying the principle but cheating in half a second or 488 million nanoseconds is still cheating okay! Did not need the hype.

Try this though it may be more illuminating on the situation. A transistor switching process in the order of nanoseconds is reaching the maximum theoretical level hence the move to multiple cores. But even with multiple cores on a buy and sell ordered list there is only 1 data path. The rate is bottlenecked at this point to the switch controlling it. You will also want close proximity so you want to be close like next door on Wall Street or with a direct dedicated connection. You can probably infer around 488 trades (at 1 millisecond trades) at most with CPU clock cycles to lock, insert entry, close the list whilst ensuring the list is not corrupted.

Wall street probably got 488 thieves in it?

Sat, 12/21/2013 - 19:16 | Link to Comment asteroids
asteroids's picture

What fucking immoral morons. They are cheating and trying to outrun each other and hopefully kill any muppets they find. Don't fucking trade on FED day.  One day, someone WILL fuck up and the market will melt down. I really don't think the circuit breakers would make any difference either.

Do NOT follow this link or you will be banned from the site!