Behold the Trading Avalanche Unleashed by the Chicago PMI Headline

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

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