This must be old news to guys who do microstructure bid-ask work in ES. I looked at such data for the first time today in any granularity. It seems there is no relationship between trade size and inside bid-ask size changes. Caveat - this is IB snapshot datafeed so not accurate, but still bid-ask size doesn't change even when large orders execute. So, I guess it means a lot of these must be icerberg orders ?? Wondering!! It also means that if inside ask is X cars during the morning hour, it is certainly possible to probably buy 2 to 4X the displayed size without moving the market. Just wondering - if someone experienced decides to share some details on market microstructure mechanics of ES, that will be great! I trade using 5 min charts with holding period in hours, so my market microstructure observations are just an academic curiosity at this time.