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The maximum order size for the mini
S&P was increased this January from 400 to 1500 for regular orders and from
1000 to 5000 for calendar spreads. It has been since then that I've noticed
these huge bids in the market depth. Incidentally, you'll see them as well on
the ask.
Have you noticed how many times these
huge orders get filled? Almost never because they disappear as fast as they
arrive. I'd love to know their purpose, but I think I already do.
Andrew
----- Original Message -----
Sent: Wednesday, June 29, 2005 11:07
PM
Subject: Re: [RT] Bid/Ask sizes
Thx Andrew.
The 5 or more price levels are changing
unbelievablely fast for manual
changing. Wouldn't another name for
"spoofing" be called
"Phantom orders"? Which is illegal per
Globex. Yes I did observe
often that the bid size
outnumbered the offer size and in an instant the
bid size drops
dramatically along with the price. And I'm talking at
least a bid
size of up to 5x the offer size.
Since it's all about money. You
would think a large competitor would
nail that "spooffer" because the bid
size does stay from 5 to 15 seconds.
What's the max order size allowed for
electronic trading?
TIA,
dom
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