Authors: Michael J. Fleming, Weiling Liu, and Giang Nguyen
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Staff Reports
Intraday Price Pressure and Order Flow Around U.S. Treasury Auctions
Number 1188
March 2026
March 2026
JEL classification: G12, G14, E43, H63
Using thirty-three years of intraday Treasury data, we provide the first high-frequency evidence on auction-day price pressure: yields rise in the hours before auction and reverse afterward. This pressure strengthens when dealers face tighter risk-bearing constraints and weakens when investor demand is stronger or more elastic. More importantly, net order flow dominates in explaining the pressure, providing the first direct evidence that trading transmits dealer constraints into prices. Despite concerns about dealer capacity amid rapid federal debt growth, price pressure has not increased in recent years, partly because non-dealer participants now absorb more auction supply and ease dealers’ intermediation burden.
Author Disclosure Statement(s)
Michael Fleming
The author declares that he has no relevant or material financial interests that relate to the research described in this paper. Prior to circulation, this paper was reviewed in accordance with the Federal Reserve Bank of New York review policy, available at https://www.newyorkfed.org/research/staff_reports/index. html. Use of BrokerTec and CME GovPX data were subject to review by CME Group prior to circulation. CME Group market data is used under license as a source of information for certain New York Fed products. CME Group has no other connection to New York Fed products and services and does not sponsor, endorse, recommend or promote any New York Fed products or services. CME Group has no obligation or liability in connection with New York Fed products and services. CME Group does not guarantee the accuracy and/or the completeness of any market data licensed to the New York Fed and shall not have any liability for any errors, omissions, or interruptions therein. There are no third party beneficiaries of any agreements or arrangements between CME Group and the New York Fed.
Weiling Liu
The author declares that she has no relevant or material financial interests that relate to the research described in this paper. Prior to circulation, this paper was reviewed in accordance with the Federal Reserve Bank of New York review policy, available at https://www.newyorkfed.org/research/staff_reports/index. html. Use of BrokerTec and CME GovPX data were subject to review by CME Group prior to circulation. CME Group market data is used under license as a source of information for certain New York Fed products. CME Group has no other connection to New York Fed products and services and does not sponsor, endorse, recommend or promote any New York Fed products or services. CME Group has no obligation or liability in connection with New York Fed products and services. CME Group does not guarantee the accuracy and/or the completeness of any market data licensed to the New York Fed and shall not have any liability for any errors, omissions, or interruptions therein. There are no third party beneficiaries of any agreements or arrangements between CME Group and the New York Fed.
Giang Nguyen
The author declares that she has no relevant or material financial interests that relate to the research described in this paper. Prior to circulation, this paper was reviewed in accordance with the Federal Reserve Bank of New York review policy, available at https://www.newyorkfed.org/research/staff_reports/index. html. Use of BrokerTec and CME GovPX data were subject to review by CME Group prior to circulation. CME Group market data is used under license as a source of information for certain New York Fed products. CME Group has no other connection to New York Fed products and services and does not sponsor, endorse, recommend or promote any New York Fed products or services. CME Group has no obligation or liability in connection with New York Fed products and services. CME Group does not guarantee the accuracy and/or the completeness of any market data licensed to the New York Fed and shall not have any liability for any errors, omissions, or interruptions therein. There are no third party beneficiaries of any agreements or arrangements between CME Group and the New York Fed.
The author declares that he has no relevant or material financial interests that relate to the research described in this paper. Prior to circulation, this paper was reviewed in accordance with the Federal Reserve Bank of New York review policy, available at https://www.newyorkfed.org/research/staff_reports/index. html. Use of BrokerTec and CME GovPX data were subject to review by CME Group prior to circulation. CME Group market data is used under license as a source of information for certain New York Fed products. CME Group has no other connection to New York Fed products and services and does not sponsor, endorse, recommend or promote any New York Fed products or services. CME Group has no obligation or liability in connection with New York Fed products and services. CME Group does not guarantee the accuracy and/or the completeness of any market data licensed to the New York Fed and shall not have any liability for any errors, omissions, or interruptions therein. There are no third party beneficiaries of any agreements or arrangements between CME Group and the New York Fed.
Weiling Liu
The author declares that she has no relevant or material financial interests that relate to the research described in this paper. Prior to circulation, this paper was reviewed in accordance with the Federal Reserve Bank of New York review policy, available at https://www.newyorkfed.org/research/staff_reports/index. html. Use of BrokerTec and CME GovPX data were subject to review by CME Group prior to circulation. CME Group market data is used under license as a source of information for certain New York Fed products. CME Group has no other connection to New York Fed products and services and does not sponsor, endorse, recommend or promote any New York Fed products or services. CME Group has no obligation or liability in connection with New York Fed products and services. CME Group does not guarantee the accuracy and/or the completeness of any market data licensed to the New York Fed and shall not have any liability for any errors, omissions, or interruptions therein. There are no third party beneficiaries of any agreements or arrangements between CME Group and the New York Fed.
Giang Nguyen
The author declares that she has no relevant or material financial interests that relate to the research described in this paper. Prior to circulation, this paper was reviewed in accordance with the Federal Reserve Bank of New York review policy, available at https://www.newyorkfed.org/research/staff_reports/index. html. Use of BrokerTec and CME GovPX data were subject to review by CME Group prior to circulation. CME Group market data is used under license as a source of information for certain New York Fed products. CME Group has no other connection to New York Fed products and services and does not sponsor, endorse, recommend or promote any New York Fed products or services. CME Group has no obligation or liability in connection with New York Fed products and services. CME Group does not guarantee the accuracy and/or the completeness of any market data licensed to the New York Fed and shall not have any liability for any errors, omissions, or interruptions therein. There are no third party beneficiaries of any agreements or arrangements between CME Group and the New York Fed.
Suggested Citation:
Fleming, Michael, Weiling Liu, and Giang Nguyen. 2026. “Intraday Price Pressure and Order Flow Around U.S. Treasury Auctions.” Federal Reserve Bank of New York Staff Reports, no. 1188, March. https://doi.org/10.59576/sr.1188
Fleming, Michael, Weiling Liu, and Giang Nguyen. 2026. “Intraday Price Pressure and Order Flow Around U.S. Treasury Auctions.” Federal Reserve Bank of New York Staff Reports, no. 1188, March. https://doi.org/10.59576/sr.1188
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