DAYTRADING Fundamentals Message Board

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Strategies & Market Trends : DAYTRADING Fundamentals

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To: Dan Duchardt who wrote (14251)	9/24/2001 12:44:49 AM
From: OZ	Read Replies (1) of 18137

it seems to me most likely at least one side of every e'mini trade is a limit order That is probably exactly correct Dan. But I think there were more market orders sent a any given price level than there were available limit orders to meet the demand at that same price level. I still agree with the essence of Booters premise that there are many market orders in index futures. Though I think it would be probably be most accurate to say that at any give price level, there are more market orders than limit orders and the taking out of the static limit orders is what moves the market. The only exception to this are marketable limit orders but most software systems make those hard to place and get filled quick enough anywhere other than the original breakout. When there is a news shock, one can see how the market orders zap all of the limit orders out of the book as there is a relative vacuum of limit orders to take the massive flow of market orders. Though the exaggerated move is usually filled in somewhat to match the underlying index value immediately after the price shock or order imbalance. Oz

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