Mr. Bojangles

Doozie is slang derived from Duesenberg - a very expensive car from the 1920s. Nothing vulgar, just a little dated. I mean the word Doozie is not vulgar, the Duesenberg car, well maybe .

Back to the trade volume, does anyone know how ICE is sending the TF trade volume. Are the CME's and ICE's the same now? As madspeculator stated, the way the CME is now sending trade size represents the size of the fill from the limit orders sitting at that level. This seems closer to reality to me. Hard to say how that could be construed as illegal activity. I remember back when the CME anounced they were going to start aggregating the trade volume for the purposes of reducing bandwidth. Those of use using tick charts had to make an adjustment (fewer ticks sent). It seems like now they are just going back to how it was. I guess bandwidth is not an issue the way it was a few years ago.

I mentioned that book because you make a comment about Mandelbrot in your original set of articles. The author claims to be a close friend of Mandelbrot and a big fan of his work. I'll crawl back into my goat cave now.

Spydertrader, Not to be too nit-picky, but what you are calling "Gaussians" would probably be more appropriately call "Histograms". If you've read "The Black Swan", you would have a high sensitivity to the word Gaussian .

I'm assuming there are some ZS specific economic reports to be aware of. Could you point us towards a good source to find what and when they are - a ZS economic calendar. As a minimum, to know when to step aside. thanks, mr. bojangles

Some initial observations on ZS from an equity index trader - not in any particular order: 1) The overnight (I'm in the us) trading seems to be very active. I assume Asian traders are actively trading ZS. 2) As a globex trader I assumed opening price gaps were a thing of the past. Not so with ZS. For some reason the CME designed this contract with a 2 hour and 15 minute time gap before the open outcry session. 3) Trying to figure out which contact month to trade (the high volume contract), I did some volume analysis on all the contract months going back to 1/1/09. The current Nov contract has/had the daily high volume going all the way back to the first day my data vendor has data for the Nov contract - 6/29/2009. During this time, the Sept nor the Aug contacts ever exceeded the Nov's volume. Is this typical or was there something special about the Nov contract this year? thanks, mr. bojangles