Hi there,
I have a curious hobby: I record a portion of my computer screen 24/7 - specifically the price & orderbook for S&P500 futures (ES), and periodically watch-back each day / night at 100x speed.
Funny things happen in the orderbook and I try to attribute names to them... for example "zombie stalker", "EMP blast", and "Plant the Nuke".
However - a general phenomena that I observe from approximately 1:15pm (UK time) every day, is what I call "the Piano man".
As you'll see in the attached screenshot, several "fingers" consistently appear on the bid and offer sides of the market, and remain there dancing around for several hours.
I *presume* this is the work of a single market making firm, because the movements of these fingers is so well co-ordinated.
What I find very curious is that throughout the day, "the piano man" will periodically "close" one hand, and then flip and "close" the other hand. My wild *guess* is that the piano man is clenching one or the other fist as a reaction to having executed relatively high volumes of trades on *one* side of the book.
Hopefully what I'm trying to explain is supported by the screenshot.
I just wondered if anyone else on these forums takes an active interest in the strangeness of the Orderbook, and whether anyone could offer speculations as to what "the piano man" is all about, and why he appears to close one or both hands from time to time...
Cheers!