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userbseww
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what do the numbers in the depth book represent? is it true that it's quoted in 00s? so if i see "27" on the ask that actually means there are 2700 contracts being offered, not just 27?
if so, what does it look like if there are less than 100 contracts on a certain price in the depth book?


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 Pa Dax 
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userbseww View Post
what do the numbers in the depth book represent? is it true that it's quoted in 00s? so if i see "27" on the ask that actually means there are 2700 contracts being offered, not just 27?
if so, what does it look like if there are less than 100 contracts on a certain price in the depth book?

27 is just 27 - no multipliers or whatever.

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 matthew28 
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userbseww View Post
what do the numbers in the depth book represent?

As Pa Dax said. What you see is what you get.
Different instruments though trade different amounts of volume, some are 'thick' instruments where a lot of volume trades and the order book is heavy and they have a low range and move slowly. Others are 'thin' instruments and the order book is light and they tend to have a much larger range and move faster. People prefer different products depending on their trading style, risk profile, time available to trade etc.

Below are three example from thick to thin:

Thick: ZN - Ten year treasury note (ZNM8)


Medium: ES - The futures equity index related to the S&P500 stock index (ESZ8)


Thin: NQ - The futures equity index related to the Nasdaq 100stock index (NQZ8)


The orange total figures show the huge variation in the sum of the ten levels shown in the order book. These are Depths of Market (DOMs) from the Jigsaw trading company so in the middle columns they show the volume that traded against the orders sat at each level. You can see that the thick products trade much more volume at each level than the thin products which trade fewer contracts at the levels resulting in price sweeping through levels faster and further.


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Last Updated on October 27, 2018


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