Did The CBOT Get "Overloaded" As Jobs Data Halted Treasury Futures?

Tyler Durden's picture

Treasury Futures markets on the CBOT were halted this morning for about 10 seconds following the release of the April payrolls data. While somewhat stunning all by itself, given that the move was not massive, Nanex notes that what is unsual about this event is that quotes also stopped updating - indicating a possible system issue at the exchange.

Of course, in these "unrigged" markets, what more would we expect?

 

Via Nanex,

On May 2, 2014 at 8:30:05, right after release of the Non-farm Payroll number, quotes and trades in Treasury futures from CBOT halted for about 10 seconds. Sequence numbers before and after the event indicate no data was dropped. What is unsual about this event is that quotes also stopped updating - indicating a possible system issue at the exchange.

1. June 2014 5 Year T-Note Futures (ZF) Trades and quote spread. 
You can clearly see the gap.



2. June 2014 5 Year T-Note Futures (ZF) Quote spread and Quotes per second.
It is unusual to see a gap in quotes - this indicates a different issue - not a normal trading halt.



3. June 2014 DJIA eMini (YM) futures trades and quote spread.
Also traded at "CBOT" - but doesn't have the gap.



4. June 2014 most active treasuries: Ultra T-Bonds (UB), T-Bonds (ZB), 10 Yr T-Notes (ZN), 5 Yr T-Notes (ZF), and 2 Yr T-Notes (ZT). Note the gap at 8:30:05.



5. Zoom of chart 4 above.



6. Most active Futures contracts.



7. Zoom of chart 6 above.