news announcements and automated trading
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Office of the Chief Economist
NEWS ANNOUNCEMENTS AND AUTOMATED TRADING
Richard Haynes and John Roberts
DISCLAIMERWhile this paper was produced in the authors’
official capacity, and while the CFTC seal is
reproduced on this presentation, the analyses
and conclusions expressed here are those of the
authors and do not necessarily reflect the views
of other Commission staff, the Office of the
Chief Economist, or the Commission.
2
The mission of the Office of the Chief Economist is
to conduct rigorous economic and econometric
analysis of derivatives markets;
to foster market transparency by disseminating its
research to market participants and the general
public; and
to partner with other CFTC divisions and offices to
integrate economic reasoning and data analysis into
Commission policy and cost-benefit considerations.
MISSION
STATEMENT
3
https://www.cftc.gov/About/EconomicAnalysis/index.htm
OVERVIEW OF THE STUDY
“Macro New Announcements and Automated Trading”
• By CFTC Office of the Chief Economist staff Richard Haynes & John
Roberts
Summarizes typical trading activity around Monthly BLS
“Employment Situation Summary” Reports
• Typically first Friday of the month at 8:30 a.m. Eastern Time
• November 2012 – September 2015
The study covers 10 Year Treasury Note Futures and S&P 500
e-mini contracts
• Slides focus on Treasury futures
• Transaction Variables: Trade Quantity, Price, Time, Trade Aggressor
Indicator, Manual Order Entry Identifier
Office of the Chief Economist, CFTC 4
AVERAGE TRADING VOLUME AROUND EMPLOYMENT FIGURE ANNOUNCEMENT, BY SECOND
Office of the Chief Economist, CFTC 5
10x volume
when
comparing pre-
and post-
announcement
periods
AVERAGE # OF ACTIVE ACCOUNTS AROUND EMPLOYMENT FIGURE ANNOUNCEMENT, BY SECOND
Office of the Chief Economist, CFTC 6
3-5x number of
active accounts
when
comparing pre-
and post-
announcement
periods
LIQUIDITY PROVISION BY ORDER ENTRY TYPE
Time Volume (Percent) Number of
Accounts
Group Time Period Non-
Manual
Manual Non-
Manual
Manual
-1 8:29:50 – 8:30:00 51 49 33 67
0 8:30:00 – 8:30:01 46 54 40 60
+1 8:30:01 – 8:30:10 57 43 29 71
+2 8:30:10 – 8:30:30 63 37 32 68
+3 8:30:30 – 8:31:00 61 39 32 68
+4 8:31:00 – 8:32:00 64 36 30 70
Office of the Chief Economist, CFTC 7
LIQUIDITY TAKING BY ORDER ENTRY TYPE
Time Volume (Percent) Number of
Accounts
Group Time Period Non-
Manual
Manual Non-
Manual
Manual
-1 8:29:50 – 8:30:00 30 70 38 63
0 8:30:00 – 8:30:01 39 61 47 53
+1 8:30:01 – 8:30:10 61 39 35 65
+2 8:30:10 – 8:30:30 48 52 33 67
+3 8:30:30 – 8:31:00 50 50 30 70
+4 8:31:00 – 8:32:00 53 47 30 70
Office of the Chief Economist, CFTC 8
WHOSE LIMIT ORDER GETS HIT? ORDER RESTING TIMES
Office of the Chief Economist, CFTC 9
Bars denote average amount of time between order entry (or modification) and execution
Red bars:
• Manual Entry
Blue Bars:
• Automated Entry
TRENDS IN POSITIONING? PRICES AND POSITIONS ACCUMULATED BY TRADE AGGRESSORS
Office of the Chief Economist, CFTC 10
Ten second moving
averages
Green line:
• Futures price
Blue line:
• Automated Traders position
Red line:
• Manual Traders position
Values multiplied by -1 for
price decline events
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