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ES Overnight Trading

  #6 (permalink)

charlotte nc
 
Trading Experience: Master
Platform: ninjatrader
Broker/Data: NinjaTrader
Favorite Futures: Emini (ES, YM, NQ, ect.)
 
Posts: 388 since Jan 2015
Thanks: 71 given, 965 received

Some Stats on Limit Order Depth....

Lately (as in the last 2 weeks) during the overnight sessions the ES Depth of Market Volumes are typically 10-50 per price level. But on the opposite side, the market order queue is almost non-existent. If you watch the DOM, you will see 1-5 market orders come in per minute often times. So if you are using market orders, then there are plenty of limit orders to fill you, but if you are using limit orders, then you will have to sit there for a while.

Ian

In the analytical world there is no such thing as art, there is only the science you know and the science you don't know. Characterizing the science you don't know as "art" is a fools game.
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