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The bid and asked quantities you are seeing are the sum of all the bids and
asks. So if 10 people bid 20 lots at the same price you'll see a bid of
200.
The trade quantities are the individual trades. So if 10 people buy 20 lots
each from 10 other people offering 20 lots each, you see 10 individual
trades of 20 lots each.
Aaron
----- Original Message -----
From: "Richard Snowden" <snowden617@xxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Thursday, March 28, 2002 2:48 PM
Subject: E-Mini bid, ask, and trade in Time and Sales
> List:
>
> 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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