Courtesy of ZeroHedge. View original post here.
Submitted by Tyler Durden.
As most know, the whopping beat of a Chicago PMI print that was made public at 9:45 am was first released to subscribers – read HFT trading firms – some three minutes earlier.
Remember: Chicago is located about a 100 miles from Milwaukee, whose PMI today crashed from 48.43 to 40.67 – what a difference a "legitimate" city makes.
As an aside, putting the number in other regional Fed and PMI context, here it is via John Lohman:
What most may not know is just how massive the pent up deluge of trades was behind this number. Courtesy of Nanex we know. Because during just 1 second of time at 9:42:00, the following trade counts were recorded:
- 550,000 SPY shares
- 10,000 June 2013 eMini futures contracts
- 1,400 Nasdaq 100 futures contracts
- 800 Dow Jones futures contracts
- 350 Russell 2000 futures contracts
- 125 S&P 400 Midcap futures contracts
- 300 Crude Oil futures contracts
- 900 Dollar Index futures contracts
- 800 Gold futures contracts
- 10,000 10yr T-Note futures contracts
- 2,500 5yr T-Note futures contracts
- 3,500 T-Bond futures contracts
- 5,000 Eurodollar futures contracts
- 750 Japanese Yen futures contracts
- 600 Euro futures contracts
Yes: it's a headline driven market with the only variable whether or not a number is > or < than "expected."
Which is the same as the trading response when the April retail spending data hit two weeks ago, and which was just revised from a massive beat to a miss. Alas, algos aren't programmed to sell on disappointing data revisions: only to buy on beats (and in the New Normal – buy on misses).
Visually all of the above via Nanex:
June 2013 eMini Futures Depth of Book
