Lets start with the bots. Over the past few weeks I've noticed some weird stuff happening on the Schatz (euro bond future).
on DOM you'll have the offer/ or the bid being incrementally increased at a constant and stable pace. It is way to fast to be a human. But its not filling up in chunks of 10,20,50 or 500 but just 1 lot. (it can happen on both the best bid and ask at the same time) What doesn't make sense -
If this was an iceberg order it would be way better to be filled in bigger lots as when it rapidly and incrementally increases like so ... 300,301,302,303 you can see it in a second. Even if you have 100 DOMs up. It grabs your attention like that.
A few moments later on the tape I see a pattern showing up with small 1 and 2 lots. It can't be a human and yet its in such small sizes that I don't see why a bot or anyone would even bother. If it were someone filling a much larger order he would not be filling it in 1 and 2 lots (on the schatz its not very rare to see 1000 lots+).
Here is a screenshot of the T&S action I'm describing:
Also, by any chance anyone know why their are so many fills outside or inside of the market ?? I see lots of in between market as opposed to at market when things get gnarly but also occasionally some outside of the market randomly (so above ask, or below bid). Here is a screeny just in case (black text is a fill in between the bid/ask).