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On a related note, I was trying to post a chart representing a steady decrease
of the SP emini .25 minimum moves since October of last year, but the
file is too big.
I basically counted the number of times the best bid/ask volume and
order number changes before the best bid moves up or down one tick.
Trade ticks were ignored.
A = number of times best bid/ask (emini tier 1) volume or order
number changes
B = number of times best bid moves up or down one tick
Y = A/B
The chart shows a steady increase of Y over time since last October.
Wednesday, June 25, 2003, 9:36:46 AM, you wrote:
MB> Hello omega-list,
MB> yes thats right the emini sp's have turned into a bond market. the
MB> cme better wake up and reduce the size if the minimum tick from the
MB> blocky .25 down to .10 or even .05 - if anyone remembers the .25 was
MB> bitched about in the beginning of the emin sp by many, the explanation
MB> was that it would help facilitate the liquidity by giving the boys a
MB> edge so that they would want to trade it. for this tick size to
MB> remain to this day is just a rip off.
MB> no i haven't lost my ass or something.
MB> what makes me say this is the eurex market - cme better wake up.
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