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Date/Time: Tue, 14 May 2024 00:39:28 +0000

Post From: SOFR futures depth data - not receiving

[2024-03-23 06:04:38] Link To Thread - Link To Post [Go To First Post]
ticinotrader - Posts: 378
@Chad I record the depth of the SR3 futures covering the next 9 expirations (although I do not record the SR1). Even distant expiration months have significantly larger depth files than the other symbols that are otherwise considered to be very active. See the attached screenshot to compare the size of the SR3H26 and the current 6EM24 last Friday. The depth files of the SR3 should be this large, not because there is a lot of price movement on any given day, but because of the constant pull/stack change in depth. If you can provide examples of depth sizes you are concerned about, I will check and let you know how mine compares.


20240323_065445.png / V - Attached On 2024-03-23 06:03:58 UTC - Size: 95.07 KB - 36 views