SMCJB 

Great Answer @josh on the pro-rata. And excellent resource for questions like this is CME's 'epicsandbox'! https://www.cmegroup.com/confluence/display/EPICSANDBOX/Supported+Matching+Algorithms The prompt contract (Feb20) represents a $1M 90 day libor loan on 17-Feb-20. As you can imagine the expected move in 'spot' interest rates in the next 26 days is negligible. Hence why 'most of the time' the ATR on the spot contract is so small. The Z20 contract on the other hand, which incidentally has daily volume over 1M contracts, will move quiet a bit more - although that has been in a relatively tight 48 tick range recently as well. Problem is if your using Tradestation it doesn't (or at least didn't) correctly calculate a Eurodollar custom contract to always be trading the 4th contract in the HMUZ cycle, so on Tradestation at least, Eurodollars are extremely difficult to trade. Getting off topic slightly, Eurodollars are interesting in that they list 10 years of contracts, and the first 5 years are pretty liquid. (At time of posting 944am central, the Z24 contract is 1 tick wide 9824.5/9825 and has traded 5636 lots already). Only other market I know that has liquidity calendar years forward like that is Crude.

This is useful to know and explains some of the price movement I saw last week on that particular contract.

Thanks @SMCJB!

~vmodus

So what does it practically mean for small positions on the Limit order book.. just wait until the price goes through?

jokertrader 

So what does it practically mean for small positions on the Limit order book.. just wait until the price goes through?

Pretty much!