ES... some prices on the DOM with NO bids... in a world-wide market!
- Thread starter Scataphagos
- Start date
If you spread them out over 20 pts instead of 2pts. So you wont see them all on the depth.
The point of this thread has apparently eluded you.
No i was addressing the specific point that at each level the depth has shrunk.
That is inevitable when the daily ranges widen.
If we take what you say as true and ADR is up 10 fold, we should still get 600 by that metric. Still a 80% reduction in size right? Still seems significant to me.
Im currently seeing about 30 at each level on ES. What was it a month ago? Looking at my charts i see the market would spend hours stuck in 5pt range during the middle of the day back then. Things were very quiet.
ATR is what i use to spread out my orders. I don't know what specific vocality metric other traders use. But you have use some volatility measure. Otherwise you are going to get blown out trading the same way.
I would say the market depth is pretty good for the volatility we are seeing at the moment.
