plugger, no, I don't have depth data atm but i used to when I...

plugger, no, I don't have depth data atm but i used to when I traded the market directly. It is far preferable to trade the direct market, and i will get back to it at some stage I guess. The liquidity is as you say best in the first and last hours of the night session. But, the spread overnight is still humungous on many if not most occasions, and those orders in the queue can disappear very quickly, leaving a big hole. The only way to play it is to fade the moves when momentum is still building.. and I don't always have that presence of mind at 1-5 am!! Its also quite rorted sometimes. I've had short positions on the night spi - the direct market - that were worsening against me even if spx was down say 1%, metals off and oil off. I talked about it to the SFE on a couple of occasions, and they agreed that it was sometimes 'inexplicably' contrary. They blamed it on a particular tradebot at one of the sydney brokerages that was left unattended during the night, and sometimes went awry. So tho i sometimes tho rarely trade the thing, I almost always regret it cos either my profits are smaller than they would be if I'd taken the same trade on another market, or my losses are bigger.

When you think about it, as a trader why would you trade illiquid rorted markets with big spreads unless that was your particular edge. Its just not good trade sense imho.

I think the situation is a bit of a shame really, cos its the national futs market after all and its a joke imho. cheers!