I noticed sometime the bid and ask (in electronic futures) could move beyond the last price, is there any meaning ? e.g the last of XXXX is 1000, then suddenly the bid is 998 and the ask is 999 but there isn't any transacation at 998 or 999
Happens all the time... you'll often see bid/ask offers changing without any new trades reported. You also see out of sequence trades reported in the feed (busted and adjusted trades) causing abnormal spikes and deviation from the instant bid/ask. If you look at the bid/ask/volume price action of any of the thinly traded e-micro's you'll see > 90% of the price changes reflect no new trades. For kicks take a close look at the 8:30am bar... on a fairly regular basis you'll notice a price spike triggering orders and clearing stops before the start of RTH. The exchange is efficient at clearing out resting orders.