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rogerwilcom

Registered: Aug 2012
Posts: 17

10-24-12 05:18 PM

If one were to measure the Bid/Ask changes (not quote updates, but an actual shift in price of the Bid/Ask to the next level (either up or down)) per minute on stocks/futures/whatever. What would have the highest number? I would like to exclude anything that doesn't consistently maintain a tight spread.

My guess is that CL would have the highest number of those that I've come across. Are there any others that you can think of?

While I haven't written any sort of tool to measure this. It is only based on observation. Has anyone seen any actual studies for this sort of thing?

Thanks!

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2rosy

Registered: May 2012
Posts: 336

10-24-12 05:27 PM

gc
ho
rb

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rogerwilcom

Registered: Aug 2012
Posts: 17

10-24-12 05:46 PM

Thanks 2rosy.

Although they certainly move at a brisk pace. They are not maintaining a consistent tight spread. I go back to CL as an example. Even when it moves fast, the spread doesn't widen very much.

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nazzdack

Registered: Jul 2004
Posts: 8444

10-24-12 05:50 PM

Quote from rogerwilcom:
----Bid/Ask changes....
----per minute....
----highest number?
----My guess....
----any others that you can think of?

Confirmation of the obvious......you would expect it to be the higher volume and higher volatility futures. Throw soybeans and natural gas "into the mix" also.

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2rosy

Registered: May 2012
Posts: 336

10-24-12 06:30 PM

Quote from nazzdack:

Confirmation of the obvious......you would expect it to be the higher volume and higher volatility futures. Throw soybeans and natural gas "into the mix" also.

nat gas? that moves a lot on a daily basis but is dead minute to minute

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nazzdack

Registered: Jul 2004
Posts: 8444

10-24-12 07:39 PM

Quote from 2rosy:
----nat gas?
----moves a lot on a daily basis....
----dead minute to minute

You must really hate the eMini S&P.

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