How are the spreads on ZDJ and DD? I trade YM and do lots of scalping, YM often has a 3 point spread which I think is high. I would imagine ZDJ is the most liquid, but I could be wrong. There are many of big players in the futures market, is DD their preferred DOW contract because of its size?
Pretty sure DJ is only is only electronic after hours. Just looking right now, the spread is much wider than YM. DD has almost no volume even during the trading day.