I am new to the MES. Does sort of thing happen often? 100% or the volume is on the left. What is really going on here?
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No, this does not happen. At first I thought you might be accidentally filtering by volume but I brought up the chart and found what I believe to be the location at ~2:45 eastern on 1/26/22 pictured below:
As you can see, the MES appears to have gone 6 minutes without a single market order at the ask.
I loaded the footprint with the same settings for the same time period on another platform and found this:
The only comparable imbalance appears to occur at 4358.25 to 4354.25 across two bars, and immediately trades back through it in the next bar.
I changed the chart to 5 minute bars and found this:
As you can see, the volume between both platforms is identical, however on the Tradovate footprint all the volume is shown to have occurred at the bid. This appears to be some kind of data feed error
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I agree. It seems to be a data feed error. Thanks for the confirmation.
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