About 30 seconds prior to the release of the NFP figures for April (released 4th of May) there was a rapid fall in the ES accompanied by a huge spike in ES volume. I will reproduce a chart from Nanex showing the move, link to an article on the WSJ that discusses and seeks to explain it, but also I will put up a chart from my software that ‘looks inside the bar’ – to see how the trading played out in the seconds before the release. It wasn’t a straight-down plunge (well, it was, but there was buying as well as selling in there and it stopped at some prices to fill in orders – all in milliseconds mind you, but thats the way the mkt works now). I’m not trying to explain the move, justify it, complain, just putting this up as info.
My chart. Green vertical lines are plotted each second. Chart is a 50 volume bar. Bottom section of chart shows VB ‘candles”. Software is Investor R/T, data is DTNIQ. If you click on the chart it will open and can be zoomed to a more intelligible viewing size:
Nanex charts, from http://www.nanex.net/aqck/2998.html (and have to say, big thanks to Nanex for posting these):