On the CME , you have on average 50 million 5 levels ( 1 pip increments )deep for the EUR/USD On Lmax there is on average 10 million 5 levels deep (0.1 pip increments), also for the EUR/USD
LMAX just told me there will be no significant difference between a 1 or 10 million order in the EUR/USD
Checked LMAX site, very interesting what order can they realistically execute without slippage of 1+ pip.
Excuse my ignorance but CME is futures...so are you saying there are 50 million futures contracts on average on CME for EURUSD
Regarding CME it's likely 50MM worth of notional, equivalent to 400 cars offered. Most of the time there's at least 100+ not further than 1 pip from the market, but experienced people say 50/60% of that is algos so they are pulled if market moves towards them, which means you better cut your realistic 6E liquidity expectations by about half. Still HFT contributed quite nicely to FX liquidity during last couple of years which is a very good news for us traders unless we try to compete with HFT algos in their own game.
Yeah, actually after I thought about it I figured that's what he meant. I was going to edit it but you got to it first
Yea, market doesn't take much attention due to Sandy so I monitor ET as actively as I usually monitor the Euro.