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Rich,
I dont have TS6 but IB offers bid and ask volume as well and you see
these big vol. Nos. sometimes as high as 900 or so on ES. I called and
asked about the origin of the data their reply was "those are actual
globex ticks". Your question is a good one that I have also been
wondering about. Scrolling through edit prices in TS4 does show an
occasional 100 lot trade but it still feels like some of the bid/ask
vol. just vanishes. Could it be attributed to canceled orders?
Ron
rickinri wrote:
>
> If you watch the ESU02 time and sales page from TS6 you see a large number
> of BID's and ASK'S with very large size numbers 100 to 400+, yet you hardly
> ever see the actual TRADE size ever go past 25 mostly they are 2, 3 and 5's
> can anyone explain this
> Rick
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