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 is much larger, allowing more contracts to fit into each tick.
- There are fewer prices to trade in ZN because the range is narrower.
- Most volume in ZN is retail noise, whereas ES is purely institutional.
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