Scheduled releases thin the book

Most of what moves a futures market arrives without warning. A small but important part arrives on a published timetable. The US agencies announce their release dates well in advance, and on those mornings the market behaves differently in the minutes before the number, not just after it.

Who publishes the timetable

The Bureau of Labor Statistics publishes the Employment Situation report, the Consumer Price Index and the Producer Price Index, normally at 8:30 a.m. Eastern time.
The Bureau of Economic Analysis publishes GDP and personal income and outlays, which includes the PCE price index, normally at 8:30 a.m. Eastern.
The Census Bureau publishes retail sales, durable goods orders and housing starts on its own schedule.
The Federal Reserve releases the FOMC statement at 2:00 p.m. Eastern on the final day of each scheduled meeting, followed by the Chair's press conference at 2:30.

Each schedule is published on the agency's own website, and those pages are the authoritative source for when a release happens. Calendar services copy the dates and add consensus forecasts on top.

What happens before the number

Market makers quote on both sides of the book because, most of the time, they expect to earn the spread. In the seconds after a major release, price can move many ticks at once, and a resting quote can be filled at a price that is already stale. So ahead of a scheduled number, many liquidity providers pull or shrink their quotes. The book gets thinner and the spread can widen. A market that looked deep a few minutes earlier has much less size at each price.

A thin book changes what your order does. A market order sent into a thin book walks through more price levels to fill. A stop-market order becomes a market order when it triggers, so a stop just beyond the pre-release range can fill well past its price when the number prints.

What happens after it

The first move reflects how far the number differed from what was expected, magnified by the thin book. It is not always the move that lasts. As quotes return, the market often takes several minutes to decide what the number means. Revisions to earlier months, or a second release at the same time, can turn the first reaction round.

What to actually do with it

Check the week's release schedule before the week starts, from the agencies or a calendar that names its sources.
Decide in advance whether you trade through a release or stand aside for a set window before it.
Know where your stops sit relative to the pre-release range, and what a move through them would cost.
Judge the reaction after liquidity comes back, not in the first seconds.