Bid/Ask changes per Minute - what is the fastest

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!

 

gc
ho
rb

 

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.

 

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

 

You must really hate the eMini S&P.

 

Cotton is insanely ridiculous.

So is Silver.

Several come to mind, but if you want to blend a consistently tight bid/ask spread with volatility energy is your best bet - CL I would imagine as RBOB and HO and NG get really gappy at times when they are moving and in transition. I would opine that CL fills in quickest.

 

I can't answer your specific question directly.

But to do the analysis, the easiest way is to compare OTR charts. A new bar is added for each change. I also monitor the volume per OTR price bar.

The fastest change is for 2 pairs of BBid/BAsk but this is what the CW calls "chop". It is a very narrow lateral zig zag.

The variable to look at, for me, is the lateral movement (speed) of the chart to the left from the right and significant price change. For you, use 1 min vertical grid lines and watch a grid line move across the chart with chop or not.

 

Charts are worthless for what he is asking. The latency and inaccuracy in charts is well known when it comes to reconciling price prints ( trades ) and moving bid / ask spreads. And yes, I buy real time data.

Bloomberg Time and Sales will be easiest and most accurate. Now go off and find a Bloomberg Professional Terminal.

 

its counter intuitive, but markets with the fastest changes or activity, are the most inefficient. And thats where the gold is. When markets are 100% efficient prices wouldnt change.