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Richard,
You should never see 25 bids at a price and 50 asks at the SAME price at the
SAME time because, as you said, 25 trades should have taken place and only
25 on the ask should remain. However, depending upon how you are receiving
these quotes, it may appear as if they are both present at the same time.
Your comment that the bids and asks are 'scrolling' leads me to think that
you may only be seeing the bids/asks when they are 'added' - and not when
they are being 'pulled'. I am not familiar with the TS6 Time and Sales
screen but if its the same as quote.com's scrolling ticker, that would
explain the apparent anomaly.
So the 25 bids you see scroll past have already been pulled (and your
scrolling ticker won't notify you of that) before you see the 50 asks being
added at that same price.
Rgds,
Kim
----- Original Message -----
From: "Richard Snowden" <snowden617@xxxxxxxxx>
To: "Schindler Trading" <schindlertrading@xxxxxxxxxxx>;
<omega-list@xxxxxxxxxx>
Sent: Friday, March 29, 2002 11:37 AM
Subject: Re: E-Mini bid, ask, and trade in Time and Sales
> 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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