I have no idea tbqh, that's just an idea I had.
I’m saying the the futures lead the etf intraday (at HFT timescales) because they are the more liquid market.
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Over the last 100 days SPY averaged $25 billion adv, futures averaged $250 billion.
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is there no distinction between volume and liquidity? i take liquidity to mean spread width. But of course, I only consider trading in size too small to move the market
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i had heard spy was more liquid that futures. (obviously.. i know nothing.)
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fairly sure that spy during market hours is more liquid than futures in the middle of the night
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