Thank you, Cool. I've noted (and learned from) your posts in the past, and I appreciate this latest contribution. This is exactly what I'd sense from my (albeit limited) examination. I'm wondering if you wouldn't mind clarifying one point: When you say "bid asks in index futures, don't work" do you mean bid/asks that are NOT inside bid/asks don't work? Or do mean ALL bid/ask that are not at the last traded price should be ignored? Specifically, if the last traded price is on the bid, do you treat the inside offer the same way you would the offer three or four or five levels up? Are you saying, literally, that the only orders that count are market orders? Period? Thanks again.