How relevant is market depth in e-minis
- Thread starter arzoo
- Start date
Sometimes I have a few million dollars just burning a hole in my pocket, and I get the overwhelming urge to move a market. I don't know, I guess I just like making the numbers on CNBC move. Anyway, by checking out market depth on each of the instruments, I can measure how much bang I can get for my buck.
:eek:
In case there are any extra-dense market regulators in the audience: I'm JOKING.
:eek:
In case there are any extra-dense market regulators in the audience: I'm JOKING.
The depth does have predictive qualities, but probably not like you were thinking. When quoted size goes down, volatility goes up. This is obvious when you think about it.. a lot of the players get out when news, and hence volatility, is coming.
Note that the reverse isn't necessarily true.. big quotes don't necessarily mean low volatility. It's relatively easy to head-fake big quotes. It's much harder to trick everyone else into pulling out.
Although I don't believe big size indicates support or resistance, there's enough believers out there that the big fish can play off of that. Back in February, one of the major houses had to sell 6,000 e-mini NASDAQ-100's, so they put in bids totalling 50,000 (for those not used to the NQ, 1,000 is a big quote.. 50,000 is insane). LOTS of people saw that and started buying (from the same guy they thought they were leaning on!). In about a minute, after a ton of volume, and nearly no move, the huge pile of bids was quickly pulled.
Note that the reverse isn't necessarily true.. big quotes don't necessarily mean low volatility. It's relatively easy to head-fake big quotes. It's much harder to trick everyone else into pulling out.
Although I don't believe big size indicates support or resistance, there's enough believers out there that the big fish can play off of that. Back in February, one of the major houses had to sell 6,000 e-mini NASDAQ-100's, so they put in bids totalling 50,000 (for those not used to the NQ, 1,000 is a big quote.. 50,000 is insane). LOTS of people saw that and started buying (from the same guy they thought they were leaning on!). In about a minute, after a ton of volume, and nearly no move, the huge pile of bids was quickly pulled.
Yes!! Thanks for reminding me ggg. That was wild!! I thought the screen was mis quoted at first. LOL. Also nice point about the relationship between relative size and volitility. Of course you've heard the old saying, size trades to size. When I see it stacked, I'm more inclined to try to trade through it (not alone of course LOL!) than to lean on it. Once as a young local I got out of 10 longs when a 1000 lot offer appeared. Boom, they traded out and the Bonds ran up like 5 ticks, hard. An older trader asked me why I got out of such a nice trade. I told him. His reply always stuck with me. "This pit will trade 300,000 contracts today. That's a lot of 1000 lot's. Trader's place their orders at prices that they think they'll be filled at!
Hi Guys,
Sorry for what is probably a stupid question. I trade emin futures but thought level II was more for stock traders? How do I get a level II that is relvant to the indices. Or is it that you look at the level II for some of the large stocks in the SP500?
Or...
I use Ib with Ninja trader and get some idea of bid ask at various levles through that " usually 3 or 4 ticks either side of teh current bid ask. But I heard these are approximate figures only from IB
robert
Sorry for what is probably a stupid question. I trade emin futures but thought level II was more for stock traders? How do I get a level II that is relvant to the indices. Or is it that you look at the level II for some of the large stocks in the SP500?
Or...
I use Ib with Ninja trader and get some idea of bid ask at various levles through that " usually 3 or 4 ticks either side of teh current bid ask. But I heard these are approximate figures only from IB
robert
