On December 4th, 2012 at 47 minutes and 13.1 seconds after midnight, 2,035 February Gold Futures contracts GCG3 took the market down $10 as fast as the exchange could execute the order. This invisible hand that decided that that was the perfect time to execute a trade for over 200,000 ounces and $345mm notional of gold is exposed in oh-so-visible a manner by Nanex [2]'s eagle-eyed millisecond-by-millisecond charts below. As the day wore on, there were more of these sudden 'unexplained' price moves. Cue 'Twilight Zone' music...
Via Nanex [2]:
1. 30 Second interval chart showing trades for the first 9 hours of trading in the February 2013 Gold Futures Contract (GC.G13). The midnight crush in the first drop on the left.
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2. Zoom of chart above showing about 45 seconds of time. Thin gray line is quote spread.
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3. Using a 1 millisecond interval to zoom in on one second of time. The trades are the squares. The Bid/Offer is the dark gray shading. When trades first execute, then the quote follows, it's because the entire book was swept.
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4. Later than morning at 3:45:05 Eastern time, a jolt to the upside.
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5. Later that morning between 8:36 and 8:40am Eastern, more sudden buying and selling events took place. The chart below is an overview of these events.
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6. Zoom of Chart 5 showing first event.
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7. Zoom of Chart 5 showing second event.
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8. Zoom of Chart 5 showing third event.
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9. Zoom of Chart 7 above showing 1 second of time.
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Source: Nanex [2] [2]