medium · Order Flow Analysis footprint-delta
In Interest Rate futures like 10-Year Notes (ZN), why are volume numbers often much higher than in Equity Index futures like ES?
- The market is deep and highly liquid, with institutions trading thousands of contracts at a single level.
- The tick size in ZN is much larger, letting many more contracts stack tightly into a single tick.
- There are fewer prices to trade in ZN because the fixed-income range stays narrower than in equities.
- Most of the volume seen in ZN is really just retail noise, while ES volume is driven purely by institutional flow.
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