I trade $SPX6900 #SPX6900 from Sri Lanka and something has been bugging me for weeks.
Almost every day, between 4 and 6pm my time, the order book goes hollow for about two hours. Then it fills back up. Every time.
Evening, 22:15: the book is full. Buyers and sellers stacked on both sides of the price, 1,000 to 1,500 tokens at almost every level. You sell, you get a fair price.
Afternoon, 16:47: the price is 0.483. The nearest real buy orders start about 7% lower. The nearest real sell orders start about 18% higher. In between there is almost nothing, just dust orders of 0.23 and 22 tokens. Then you scroll up and there is a 23,000 wall sitting at 0.69.
So where did everyone go?
I can't see who is behind it and I won't pretend I can. But a book doesn't empty itself at the same hours every single day by accident. It looks like one operator running a routine: a big wall at a round number, a hollow zone around the price, and the orders back by evening.
Why it matters: when the book is that thin, one market order can push the price through the gap. Your stop-loss can fill far worse than you set it. If you ever wondered why SPX drops hard in the afternoon and recovers at night, this may be part of the answer.
What I'm doing:
1) Limit orders only between 4 and 6pm Sri Lanka time
2) Checking book depth before I enter
3) Logging timestamped screenshots for a full week
What I need from you: open your SPX book this afternoon, screenshot it, and post it in the comments with your time zone. If it only happens to me, tell me. If you see it too, then it's real and a lot of us are trading into a trap.
Not financial advice. This is what I see in my own screenshots.