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Who are we trading against? Why is the book so thin?
Institutions are trading the ES at every moment of every day, they comprise nearly the totality of the volume. Retail volume is a blip.
Institutions use futures to hedge (this is also why you see major moves at the end/start of the day as portfolios are being rebalanced)- or in the case of HFTs to speculate/arb/capitalize.
Although the book may seem thin to you on the surface if you are looking on the DOM, it's deep. The algos will kick in and suck up anything you can throw at them- unless you come in at the wrong time, in which case you will know quickly that the algos left you holding the flaming bag.
If by efficiency, you mean is it likely that you and/or anyone else for that matter will profit off of daytrading/short term scalping of any kind in the /ES, then your question is correctly answered with a resounding no. You are 99.999% unlikely to experience a positive expectancy short term trading the /ES futures. Your probability of failure increases with the shorter your trading timeframe is. Hope this helps.
Liquidity is all icebergs unseen. A lot has shifted to Otc look a likes and with huge moves you dont get as much on the book resting orders but still a lot there more than u can see or do for sure. But they cancel them so they really aren't there! That's the problem when you do size without an execution specialist like citadel
I know this is a year old, but the reason the book is so thin because of volatility - you won't see big bids and offers until volatility is low again. No one is risking 5000 a handle when the ES moves 5-10 handles in a second. Micros will die off - contrary to what anyone says - they are too expensive to trade unless you have a seat. This is why in 2021 the book was 100 deep and why now its 50 deep. Same with crude. I wouldn't touch either, you get smoked easily because if someone needs to do business, they'll drop 500 and blast through your stop in a heartbeat.