Seems like sometimes order flow goes "backward" in the ES which is to say size is going countertrend DURING A MEANINGFUL TREND. I attribute this to offsetting options and/or arbing cash and/or arbing other indexes. If you spend enough time watching the tape you can see the difference. Some are definitely loading the DOM and working the ticks, whereas others wait for stops to get run or key reference points. If you figure some consistently take money out of the market then in a zero sum game that money has to come from somewheres.
If one is trading 100 lots, what argument might he have to support a limit order at high liquidity times? It is unlikely for that order to be filled successfully at desired price, if at all. If my objective is to squeeze a point or 2 at times when 150 lots get filled every second (average), well, I just want to get filled at market personally.
==================== Since the original question was limited to ES liquid times; simply prefer my price ,thier time, limit orders pre planned targets. And in a good move, limit orders works fine there also However i dont try to pick tops /bottoms, in that case , market orders or limit orders may slip/not fill & are more likely to slip , maybe more that that .25
Do you use DOM? I assume that you do, but anyhow. You will be able to see limit orders on both sides (bid/ask). In principle a Market Order is given priority over a limit order, depending on how many lots you are to place at market you should get filled immediately at best prices, don't forget that it is Globex (for eminis) that manages the matching process. So assuming that most traders on ET trade no more than 100 lots in ES for example, should have a maximum slippage of .50, but when placing a market order you will reduce the chances of getting higher slippage watching prices on the DOM. You have probably seen it when there is .50 spread on ES, that would be the ideal time to get filled with higher slippage. I trade 15 lots max at the moment and have always been filled with .25 slippage, no more.
romik, don't know if this is a silly question, but are lots from one platform/broker equivalent to another, and do they equate to some underlying number of shares/price?
Do you mean to say whether my platform might show different amounts of orders compared to yours? The answer to that is - it shouldn't be. The orders you are seeing come from the exchange, not your broker. Though, depending on the efficiency of your broker's system used/your internet connection and some other factors, there might be latency, resulting in slower order fills and higher slippage than what you are seeing on the screen. I didn't understand the second part of your question, sorry. EDIT: That's why I do advise, if trading short time frames, getting the right tools. Otherwise, you are at the mercy of higher slippage.
Just wondered if a lot was bought, would it have to be closed before expiration, or if taken to expiration, would there be an underlying physical swap of some sort?