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Thanks for your note....
That's what I had thought... but I see 25 bids at a
price, and 50 asks, and so I would think that you'd
see 25 trades. But no, you (often) only see one trade
of a one lot going through on time and sales on TS6.
I'm still a little perplexed....
Richard
--- Schindler Trading <schindlertrading@xxxxxxxxxxx>
wrote:
> 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
> >
> >
>
=====
"Trading is a way of walking, not a way of talking."
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