I took a screen capture of a DOM for DX a couple weeks back around 10 minutes after open on a Sunday because I found the liquidity to be odd. At nearly every level (aside from a few inside levels) there seem to be the same contract counts. On the bid side it's obvious that the inside bid also has the same underlying contracts with a 6 additional ones on top. The real liquidity here might as well be 6 bid/8 ask. So what's the story here? Are these all algo orders that are continually canceled as the price moves around? I actually contacted ICE about this (but received no reply) because my concern is that if algos are stuffing the bid/ask at every single level it's screwing everyone else because they'll persistently be at the end of the queue and only get a fill if said algos cancel or fill before them. I have watched this thing make moves and there's no where even close to that kind of liquidity getting filled as price moves around (obviously some cancellations/pulling is to be expected). Compare a bid/ask footprint chart for DX vs ES as an example of thickness with low volume (DX) and thickness with reasonable volume (ES): Pretty sure ICE's own disruptive trading practices rule 4.02 (similar to CME 575) would make this kind of thing against the rules (yes I know, enforcement is another story). https://www.theice.com/publicdocs/futures_us/exchange_notices/IFUS_Disruptive_Practices_Notice.pdf I even made a video of this recently right as the market opened showing the orders instantly showing up and how liquidity shifts around without any significant volume: So what am I missing here? It's not as if I trade this thing with any serious size so it doesn't immediately affect me but the implied thickness of the order book seems to be quite far off from reality and in general I'd prefer less of this BS.
I don't see the behavior in TF or Brent (albeit that's ICE EU) which I also trade. Do you know of this occurring in softs or otherwise?
https://www.theice.com/publicdocs/futures_us/ICE_Dollar_Index_FAQ.pdf So there you go: "market maker program" aka "bots vigging everyone's trades."