No announcement yet.

Futures: YM vs ES futures bid/ask sizes?

  • Filter
  • Time
  • Show
Clear All
new posts

  • Futures: YM vs ES futures bid/ask sizes?

    I am extremely puzzled about getMostRecentBidSize() and getMostRecentAskSize() for YM (DJIA futures on eCBOT) vs ES (S&P 500 emini on Globex).

    YM shows about 10 times as many contracts on the bid, as on the ask on average; and over the last few days this is generally what I've seen consistently. ?????

    ES, on the other hand, is symmetrical in contracts on the bid vs contracts on the ask, and they appear "normally" distributed.

    Is there any way that YM could have a data feed problem which would result in this apparent large bias to the bid ????

    It's just too weird that there isn't some symmetry in the data throughout a couple of days.


  • #2
    2 different, there isn't a data feed problem.

    YM's volume is about 1/12th the volume of ES, which I consider to be thinly traded. Sure, you'll see bid sizes of 30 or 40, then instantly turn to 5 or 1...a lot of fading - or, not really there for that much. Ditto for Asks.

    Are you trading YM?