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Yes, we're rotating right below major resistance. generally, i'd say that would presage a big move down....but somehow, this doesn't "feel" like the game plan i hate it when all i've got are "feelings"

trin, too....still, feels like a scene from one of those teen-age slasher movies....awfully quiet....

I hate to say this, because I don't entirely believe it myself, but I think we're coiling for a sharp move up. Please, everyone, tell me why I'm deluded....

for one thing, convention. for another -- admittedly, a technicality -- 4:15 (eastern) marks the RTH close

Multicharts meets your criteria. Now with the latest "official" release, v 2.1, it is as stable as anything out there, and faster than its competitors, so far as I can tell. I don't work for MultiCharts and benefit not a whit from plugging them. I just use the software and find it marvelous.

data feed was impressive.

Is that an "inefficiency" or a migration to safety?

Yes, a very good point. If you go to indexarb.com or programtrading.com, you'll find fair value calculations based on blended interest rate yield curve constructed from quotations for deposit rates and eurodollar futures. It's my observation that their formulae results in something different...

ok, thanks....

Really? No one?

Is there any reason why one can't simply subtract the price of the cash from the price of the futures on a one minute bar (or a one second bar, I suppose) and, presto, there's your prem? What am I missing here? Thanks....

Does anyone find it all interesting/significant/noteworthy that the ES traded below fair value for the entire session?:

could you elaborate?

It's a good question. My guess -- and this is begging for some hard data -- is that an AH fill would NOT be legitimate only if my theory about the emerging importance of Globex price discovery is WRONG. Or, to express this in less tangled syntax, an RTH gap would need to be filled in RTH if...

sorry, i type with my thumbs, and spell by ear a bit too often...cEteris paribus

I've been meaning to quantify my impression with hard data, and just haven't gotten around to it. This may be the goad I need... FWIW, though, my impression is that there are an awful lot of gaps these days....gaps that remain unfilled...gaps that, when they are filled, are filled, it...

My impression -- and I would love to hear the thoughts of others on this -- is that RTH gaps are approaching irrelevance, and that the fixation on RTH gaps is an old-school holdover from the days when there was no Globex, or Globex was far less significant than it is now. Now it's a continuous...

ah. i think you've already mentioned this, haven't you? sorry about that. thanks for repeating the info, though....

by macro markets, you mean cash indexes -- spx, etc. -- on larger time frame -- daily, weekly?

That's a great idea. Simple, clean. But have you considered mucking it up a bit with a volume component -- i.e., is increased volume correlated with upmoves or downmoves?