Quote from stfreak:
When you are a big player or a market maker, what is the worst situation for you??
Of course getting a fill on the wrong side and not being able to get out due to the lack of liquidity (just imagine a marketmaker trying to get out of a bad trade with a 1000 contacts in the ER2...)
So the large orders in the book are mostly on price levels, where it doesn´t matter, when they are filled, because the marketmaker can offset the risk in another market at a better price (that is, what marketmaking is all about. selling a tick above the fair market price and offset by buying the fair market price)
be aware of the fact, that marketmakers in index futures mostly hedge against a basket of stocks or vice versa. When making a market in the bund, one can offset by hedging in the bobl(it´s more difficult to spot the hedge - trade in the index futures, then in the interest rates)...that´s also, why marketmakers never get squeezed out...they are always hedged.
So that explains also the fact, that large orders are mostly one or two ticks above/below the market, because the MM knows, when there is a fill on that price, he could instantly book in a profit.
