I have often hear that Price goes to size. 100 50.50 * 50.52 1 I just don't understand why there wouldn't be upward bias here
Maybe it was true in the 80's. There is a lot of gimicks with programs that cancel and resend orders. This is 2010!
It should be pretty obvious why this is true: Big volume has to trade with big volume - if I need to move 1000 contracts, I've going to have to find some people who want to trade say hundred lots, not one at a time. Similarly, big volume moves the market. Therefore, when big volume wants to consume liquidity, it has to move the market to where a big volume of liquidity is offered.