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