DOM Market by order same order quantity on every price

November 27th, 2023, 03:59 PM

Hey guys,

I need your help in understanding what I see in the attached DOM of the ES Futures this evening.
As you can see, the market by order column for bid and ask shows for (nearly) every price a order with a quantity of 17 contracts.
Is that really a coincidence? Or is there a logic behind that? I guess the logic is that a market participant placed orders for every price ... but ... does that make sense?

How do you interpret what you see there?

Ironbeam · November 28th, 2023, 01:38 PM

chasepatrol

Hey guys,

I need your help in understanding what I see in the attached DOM of the ES Futures this evening.
As you can see, the market by order column for bid and ask shows for (nearly) every price a order with a quantity of 17 contracts.
Is that really a coincidence? Or is there a logic behind that? I guess the logic is that a market participant placed orders for every price ... but ... does that make sense?

How do you interpret what you see there?

Pretty interesting. In a more illiquid market it's common to see something like this where an algo is just making a market, but on the ES this likely isn't the case.

December 3rd, 2023, 09:49 PM

I don't think there's anything to interpret here, most likely just placeholder orders to maintain queue position.

DOM Market by order same order quantity on every price

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DOM Market by order same order quantity on every price