If you watch over night at all, it is much more noticeable. Very rarely do you see more than 50 up, used to be a couple hundred up.
Well, I can't speak for anybody else with certainty, but my own automated trading system on the CME futures is trading small as we are going through the certification for the new market data mechanism. As far as I know, most of automated systems on CME are going through the same certification process at this time. For me, it makes no sense to put on large sizes, as I would be in a significant speed disadvantage (RLC vs FIXFAST). And based on the off-record conversations I had with a few system oriented groups, the feeling is generally the same. Once the FIXFAST certification process is done for most of the systems, I think volume will definitely comeback (look at maybe mid Jan for the bugs to be shaken out of the new systems). The one interesting thing is that CME made sure that TT made the certification early (they were certified on Oct 30). TT definitely made their displeasure known to CME on the whole MDP migration in '06, as they were late to the party, and a lot of big TT users complained that they were slow (and they were, and a lot of automated systems had a few months of reduced risk and increased profitability). Can ppl verify that their TT installation have moved over to FIXFAST (the few installations I know have already)? However, most of the volume TT are manual point-and-click anyways. So yes, starting Nov. 1st, I saw a decrease in the sizes put on, but that is the expected behavior with systems like mine reducing our sizes, and instead concentrating on migrating to the new system. EDITED: Oh yes, Eurex is going through the same migration (to FIXFAST) by end of 1Q08, so I believe the same level of reduced book size will be seen by mid to late Feb of '08. In the long term, this is a good thing for automated trading systems, as reduced latency will make the automated advantage to be even more significant, so why bother trading at a disadvantage for now, instead just concentrate on making the new system as fast as possible.