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Market Book depth seems to be gone since October 15th. Depth is the same as if we were in the middle of an economic event, all day long. 3 days in a row.
I also noticed a considerable decrease of Market Depth in Crude Oil / CL. Last 3 days it's been 35-40% of what it's normally been. I'm not using Market Depth per se in my trading, but it's noticeable when 800 tick bar ranges have abnormally increased but ask/bid sizes decreased the same time frame. Of course today reason is clear as there's rollover going on from November contract to December contract, but this change already happened on Wed & Thu even when volume was dominantly on November contract. Yesterday's 500 tick run & rip up from $80 level was super strong volume, though asks/bids were nowhere to be seen. Price (sales) even jumped several ticks beyond ask/bid spread on several occasions. That was scary and haven't seen this behavior for a long time with CL.
IMO, in high volitiility environments, youp u are going to see wild tales
on candles. Typically early in trading ( up to 20-30 min) as well. Less shares
and spreading your exit stop wider will keep you in the game.
when you have high volatility, vix high, the risk is high, and a lot of algo go off, then liquidity go down
more opportunities but more risk
you can wait and stay aside if you are uncomfortable
is like the news
or is you change the product to one more volatile
good luck
La lucha es de igual a igual contra uno mismo
The fight is fair against oneself
I thought liquidity drying up had to do with recent news about HFT getting fined. If it is simply due to high volatility causing algo to go down, has this happened before?