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----- Original Message -----
From: "TaoOfDow"
>........ For example, how many contracts can you get quick and current
market fills on before your size
> begins to suck up all the contracts at the current price and move the
> market? At what size do you just know that you're going to see some
> significant slippage simply as a result of your size? Is the E-mini
> market so liquid that it can absorb a 50-, 100-, multi-hundred-contract
> market order without blinking an eye?
You should be aware that the size showing at a particular price on Globex
does not show everything.
The facility exists within Globex to place an order for say, 250 contracts
but only ever show 1, 2, 5, 10 or whatever at a time and auto-refresh as
each batch is filled.
You never really know how much is being bid or offered at any given price.
Obviously, it can never be less than what you see but it could be a lot
more.
I've seen the evening session open with >2000 trade at one price while only
10/20 ever showed on the Bid.
Rgds,
Kim
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