In my experience trading Liffe and Eurex (to a greater extent on Liffe) is the charts look good with lots of fluid volume throughout the day, however when you go trade you end up perplexed by bad fills. I think what goes on is the big players call each other and then report the trade to the exchange. If they do it on the screen they will move the market. On FDAX and GBL it is less noticeable because there is so much liquidity but it still happens. On the Chicago contract with the big players in the pits they are able to feel each other out and get an idea of what the market will bear. I would think many of the big trades that mcurto talks about are a fill in the pits followed by a punch on the screen I guess the point is that I think pits spill liquidity on to the screen from the "wholesale" or "upstairs" market that wouldn't be there in a strictly electronic market. Pits also seem to be a better way to trade spreads. Add to that they are a useful redundancy and I think they will be around for years to come
zf trader, please explain with an example, maybe I can help you. normally, you get what you see with both Eurex and Liffe, exactly like with globex or ecbot. there are some slight delays w/ Eurex esp. sometimes 17.30 CET due to Xetra closing. but this has improved a lot. do you mean not getting filled when joining bids/asks?
One time I was trading the Schatz and I had a bid in at 035, next thing you know there is a volume spike on the chart and it is showing a trade at 030 but I never got a fill. This is the big players working around me. If you want to punch sure there is all kinds of liquidity but it is very hard to gain the spread. Also the volume is pretty lumpy and sporadic, not smooth like on ES or NQ.