Market depth of the ES e-mini futures contract

Discussion in 'Index Futures' started by heywally, Jun 27, 2013.

  1. Here's 20 levels either side for the ES 09-13 book at 01:13 am EST on 11/07/2013

    11/07/2013 01:13:16 EST
    ASK:
    0 1666,75 363
    1 1667 1342
    2 1667,25 478
    3 1667,5 532
    4 1667,75 242
    5 1668 964
    6 1668,25 391
    7 1668,5 299
    8 1668,75 274
    9 1669 629
    10 1668,75 445
    11 1668,5 419
    12 1668,25 320
    13 1668 1132
    14 1667,75 243
    15 1667,5 566
    16 1667,25 509
    17 1667 1366
    18 1666,75 562
    19 1666,5 178


    BID:
    0 1666,25 77
    1 1666 171
    2 1665,75 148
    3 1665,5 102
    4 1665,25 91
    6 1665 134
    7 1664,75 172
    8 1664,5 177
    9 1664,25 352
    10 1664 294
    11 1664,25 278
    12 1664,5 168
    13 1664,75 98
    14 1665 211
    15 1665,25 89
    16 1665,5 71
    17 1665,75 95
    18 1666 143
    19 1666,25 1
     
    #21     Jul 18, 2013
  2. heywally

    heywally

    Thanks abattia - I'm mainly interested in what it looks like 20-50 points below the market price; 80-200 ticks. I have a hard time visualizing why anyone would have standing buy orders, especially in size, that far down though I guess they could have stop losses bracketed to them.
     
    #22     Jul 18, 2013
  3. This looks wrong.

    For the "ask" side, the price should monotonically increase from level N to level N+1. In what you posted, the price starts to go down from level 10.

    Similarly, for the "bid" side, the price should monotonically decrease from level N to level N+1. In what you posted, the price starts to go up from level 11.
     
    #23     Jul 18, 2013
  4. Yes, it does look wrong. Thanks!
     
    #24     Jul 19, 2013
  5. RedDuke

    RedDuke

    Gentleman, he could have just sorted it based on the price. The idea was to demonstrate depth at each level, the order is not important in this instance.
     
    #25     Jul 19, 2013
  6. One thing to look into is CME's Velocity Logic. If the market drops too quickly (i.e. because someone took out the entire bid stack), the future will halt for a few seconds to allow people to enter orders and replenish liquidity. On the day of the flash crash, this pause marked the bottom of the selloff and the market rebounded from there.

    Afterhours might be trickier. The same logic still applies, but there might be less liquidity and the move could continue to follow through after the market reopens. For example, on 12/21/12, after a failed fiscal cliff vote, ESH3 dropped 15 points in less than a second before the logic kicked in. When futures reopened, they were another 15 points lower -- but again, this marked the bottom.

    However, even in these extreme situations, the widest bid/offer spread I saw was 3-4 points. I'm supremely confident that as long as the market is open, there will be a bid for a 5 lot within 20 points.
     
    #26     Jul 19, 2013