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When to trade ZB/ZN?
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When to trade ZB/ZN?

  #41 (permalink)
Market Wizard
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guidosl View Post
Can anyone tell me how it is possible that in the ZN and ZB and other futures, the amount of limit orders are just as high during the overnight as during the day session- but almost nothing is trading there. Who is putting these limit orders there? On a regular day in ZN we have 2-3000 limit orders above and below price - (even if the market is very slow during the overnight). Any ideas?

As said on many other occasions: Most of the liquidity that you can see in the order books / DOMs is purely virtual.

Virtual means that there are tons of 1 contract limits that are just there in order to ping the respective markets,
not in order to get filled on notable size. For algos it's the cheapest way to find out if 1 contract increments can
trigger any move or not. If so, the rest of that order level is often cancelled within fractions of a second so that
only more passive algos and retail fills remain. (Since the retail customers are simply too lame to get out of the
way, they e.g. experience such moves as "stop fishing" and wonder why the move regularly ends just after their
orders have been absorbed).

During the off-hours many 1 contract ping limits are still there, but they do not even find a match that could be pinged.

That kind of "order flow" is also one reason why the average trade sizes are falling deeper and deeper - ZN ~10
contracts per trade, ZB ~3 con/tr at the moment during the prime time - which is ridiculously low compared with
historical levels but a natural result of ever-growing trading automation.

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