ES Bid/Ask size

V

vanilla2

How do you ES guys use bid and ask size?

In paper trading, I see big numbers > 500 and think I'm getting behind a large pocket of supply or demand and many times, it goes completely the other way. Is it just noise, or does anybody find this information helps their analysis?

Other times, I watch the size update over the course of a bar, and it weighs heavily on the bid side for instance, then the next tick is down. Why does it seem to tick down into demand and vice versa? I must be reading this incorrectly.
 
You are assuming the info is meaningful at all - IMO, it's not. Look at how much of the size gets pulled vs. actually traded.
 
In paper trading, I see big numbers > 500 and think I'm getting behind a large pocket of supply or demand and many times, it goes completely the other way. Is it just noise, or does anybody find this information helps their analysis?
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I found myself trying to make sense of these numbers trying to find a short term indication of price, but it was an exercise in futility.

Now I use a different strategy for entry/exit signals.

I got nowhere, maybe someone else can get something else out of what you're referring to. :cool:
 
Thanks guys.

Another point of confusion looking at time and sales, if ES is zero sum, when I see a sale for 100 contracts go through, who's on the other side of that transaction? The next 100 worth of buys, or the previous 100 worth of buys?

Isn't every transaction a buy and a sale?
 
ES Bid-Offer size - most usefull purpose seems to be as an indicator to determine if your internet connection is lost
 
Quote from vanilla2:

Thanks guys.

Another point of confusion looking at time and sales, if ES is zero sum, when I see a sale for 100 contracts go through, who's on the other side of that transaction? The next 100 worth of buys, or the previous 100 worth of buys?

Isn't every transaction a buy and a sale?
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if a sale goes off at the offer, it's a buy, because the buyer is initiating.

if a sale goes off at the bid, it's a sell because the seller is initiating.
 
Thanks for elucidating guys. That helps a lot.

You know what's interesting... when I set up a 1 tick chart in TS, and apply volume set to color code a volume bar red if the tick occurred at the bid and blue if it occurred at the ask, it does not match time and sales 1:1. I would have expected these to be the same thing.

In fact, volume in a 1 tick chart scarcely matches the size amounts in time and sales.
 
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