For anyone trying to trade today, this post is moot. For everyone else, when less than 1K ES contracts take out not 1, not 2, not 3 but 4 levels of order book depth…
11:01:50 – just 768 eMini contracts took out 4 levels of depth #ES_F
— Eric Scott Hunsader (@nanexllc) December 15, 2014
Then one better pray that Waddell and Reed does not sneeze, and certainly not sell (or, gasp, short) anything in size or else…
eMini liquidity really sucking wind today (black line) $ES_F $SPY http://ift.tt/1uIWB4F
— Eric Scott Hunsader (@nanexllc) December 15, 2014
Outraged by this outcome in a world in which billions of algos supposedly do nothing but “provide liquidity”? Then just dial 1-800-VIRTU.
via Zero Hedge http://ift.tt/1vS7ZLz Tyler Durden