I've just started paper money trading Nikkei 225 futures on ThinkorSwim... and i notice that there's often a big gap between the bid/ask and market. Say im seeing bid/ask at 9000/9005, but my chart would update the last trades at say 9030. This is really confusing for me... can someone explain the existence of this huge gap?
that's what i thought too - except that my limit orders are filled according to last trades instead of bid/ask??
No - the reason your limit order was filled even though it was inside the market maker's bid and ask is that another trader saw your limit order (possibly even before it showed up on your quote screen) and accepted the price. In other words, it is normal to be able to get some fills inside the publicly quoted bid and ask.
But if you are saying that you could not get a fill even at the least favorable to you of bid and ask, then possibly they were taking a break and the market was not trading just at that moment, or you were in pre-market, so that the bid and ask were not live. In that case they will show a stale bid and ask. I some markets I even see bid and ask regularly crossed during that period (presumably as a signal that they were not live). Sometimes the trading times posted by your broker may not be completely accurate. Look at the time stamp of the last trade if you can see it on your broker's platform to see those situations. Other than that, there might be a problem with your brokers's quote stream but it is more likely that one of the above apply.