CME indexes with big volume...

Quote from Pabst:/covhi

Are you using U.S. trading hours (8:30-3:15 CDT) as your benchmark? ES averages a minimum 1000 contracts per minute on "slow" days and better than 2k per minute normally.
More...

=============
Dosent sound like he is is getting accurate ES reg hours [front month ,SEPT now contract -or most of old June contract ]volume.

And excluding slow lunch time, 10,ooo plus contracts per 5 minutes are quite common:cool: [Sept front month contract]:cool:
 
FYI
This is an answer I got from Lorenzo in SR forum:

Quote from Lorenzo:

Yes it is wrong because PATS data feed is filtered

2/3 of the total volume is filtered. and... PATS IS terribly SLOW!

if you scalp ...stay away from PATS. TOTALLY UNRELIABLE

SR developers are currently working on establishing a feed from TT
More...
 
You must log in or register to reply here.
Back
Top