Look at what actually happens on
#silver and
#gold futures during the
#NFP liquidity vacuum, on 10-second bars. 🥲
Check how relevant are the
#AVWAP from
#COMEX #GhostPit open and yesterday’s
#SI high at 78.900.
That’s where algos really thrive. 😉
Amazing details. 😌
Futures are extremely thin around the release. About 90% of liquidity disappears in the seconds right before, then returns at different speeds depending on the impact of the data.
If the data is a big surprise and disrupts short-term market expectations, liquidity comes back slowly and in a very irregular way. If it is not a big deal, everything is back to normal within a few minutes.