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What is it that I don't understand about the numbers
of e-mini trades relative to the number of contracts
bid and asked?
Can someone elighten me about the following
phenomena? When I look at the Time and Sales window
in TS6, I see tons of relatively large numbers of
quotes for the bid scroll by, and the number of asks
is similarly large... quantities of 150, 250, 300 are
not uncommon, and they scroll by repeatedly, and are
many times bunched together at a single price, so it
looks as if total there may be, say, 500 contracts
bid at a given price,and a similar number asked. But
when the trade quote scrolls by, we see only tiny
numbers, say 1,2,5,10, maybe occasionally a 20 lot,
etc. My question is: why the discrepancy? Are
people running computerized arb programs that spread
the one-tick difference between the bid and the ask?
With similar numbers going for both the bid and the
ask, I would think that we would see an equal number
of trades,,, but no, it does not seem to work that
way.
Can someone tell me how this works and what it means?
Thanks in advance..
Richard
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