[Soultrader]

Very interesting topic here. In Japan, these withdrawing bid/ask in tremendous size is illegal. Which is why the Dom information is more clear.

Many scalper trade just off the dom making the bid/ask spread. This works well in the Nikkei where the tick size is approx $90 per contract a tick. I can not do this successfully.

We also have off exchange transaction system in which block orders can be negotiated between a buyer and seller directly. These block orders do not show up on the Dom but will send a print at the open and EOD. Hence this block size is incorporated into volume at the EOD only. (pretty annoying in my opinion) They do this in order to prevent artificial price movement.

Brownsfan mentioned how price gravitates towards the heavy bid/ask levels. I find this interesting as it is the exact opposite with the Level 2 screens in Japan both for futures and equities. Im assuming it is due to bid/ask games constantly being played in the US or just traders being very indecisive and emotional. When I traded the YM, I never really paid attention to the dom (only tape) so can not comment on this behavior for US futures.