ES Bid/Ask size

Discussion in 'Index Futures' started by vanilla2, May 22, 2003.

  1. 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.
  2. Quah


    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.
  3. Thanks -- where would I see how much is actually traded? you are referring to volume?
  4. Banjo


    You need "time and sales" prolly on your sftw.
  5. 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. :cool:
  6. 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?
  7. Tea


    ES Bid-Offer size - most usefull purpose seems to be as an indicator to determine if your internet connection is lost
  8. lol, for sure.
  9. lundy


    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.
  10. 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.
    #10     May 22, 2003