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
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.
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.
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.
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.