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.
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2. Nasdaq-100 futures (NQ) Depth of Book during scheduled Employment Situation news release.
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3. Gold futures (GC) Depth of Book during scheduled Employment Situation news release.
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4. Crude Oil futures (CL) Depth of Book during scheduled Employment Situation news release.
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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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