RE: [RT] Bid/Ask sizes

["Andrew Nopper" <nopper@xxxxxxxxxx>]

I have market depth, 5 levels down either side, and there's nothing ever there that's even close. I can't imagine that the spread would be 6 ticks or more.

 

Andrew

 

-----Original Message-----
From: realtraders@xxxxxxxxxxxxxxx [mailto:realtraders@xxxxxxxxxxxxxxx]On Behalf Of Dan Goncharoff
Sent: June 30, 2005 12:13 PM
To: realtraders@xxxxxxxxxxxxxxx
Subject: Re: [RT] Bid/Ask sizes

My guess, from this limited view, is that the "big boys" are providing two-way quotes at a wider spread than one tick, in size. As the market moves in one direction, the two-way quote moves 'away' from the market. It is visible to you only on one side because the other side is not visible when you can just see BBO. You would need market depth to see this.

Regards
DanG

Andrew Nopper wrote:

Here are two screen shots from September of the T&S showing how the bids/asks are retracted. The Sept 7th in particular shows the bid reducing in 3 consecutive tranches of exactly 800, 1200 and 800 while the ask remains constant at 251. No one lot traders in there! I kept these because I was going to complain to the CME about the size of the orders, as the limit was 400 then I believe, but never got around to it.

 

Andrew

 

 

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