How do you ES guys use bid and ask size? In paper trading, I see big numbers > 500 and think I'm getting behind a large pocket of supply or demand and many times, it goes completely the other way. Is it just noise, or does anybody find this information helps their analysis? Other times, I watch the size update over the course of a bar, and it weighs heavily on the bid side for instance, then the next tick is down. Why does it seem to tick down into demand and vice versa? I must be reading this incorrectly.
You are assuming the info is meaningful at all - IMO, it's not. Look at how much of the size gets pulled vs. actually traded.
I found myself trying to make sense of these numbers trying to find a short term indication of price, but it was an exercise in futility. Now I use a different strategy for entry/exit signals. I got nowhere, maybe someone else can get something else out of what you're referring to.
Thanks guys. Another point of confusion looking at time and sales, if ES is zero sum, when I see a sale for 100 contracts go through, who's on the other side of that transaction? The next 100 worth of buys, or the previous 100 worth of buys? Isn't every transaction a buy and a sale?
ES Bid-Offer size - most usefull purpose seems to be as an indicator to determine if your internet connection is lost
if a sale goes off at the offer, it's a buy, because the buyer is initiating. if a sale goes off at the bid, it's a sell because the seller is initiating.
Thanks for elucidating guys. That helps a lot. You know what's interesting... when I set up a 1 tick chart in TS, and apply volume set to color code a volume bar red if the tick occurred at the bid and blue if it occurred at the ask, it does not match time and sales 1:1. I would have expected these to be the same thing. In fact, volume in a 1 tick chart scarcely matches the size amounts in time and sales.