be confident in the price you want......then who cares if theres 1mill on the bid/offer, hit/lift into it, unless your strategy is solely to scalp the bid/offer quotes. the days you could get good fills on some liffe products was, from my exp, quite a few years ago & it certainly wasnt relied upon as an edge....more a bonus. we used to say stick in 20 x 1 lots (instead of one clip of 20) as this wld ensure a bigger fill based on their old algo but this soon changed to weight towards larger size - this was about 8 years ago.
are they spoofing or are they bidding and offering against other markets/cals? you sure they're not algos to box up or fly and make money from rebates? if thats a normal days vol then it doesnt sound as though theres much business to do period (do you only trade this far out?), so maybe you need to find other instruments. and if your consistently having to buy on the bid/sell on the offer then either your prices were not great originally and/or the market doesnt move much and its time to trade something else. in brent crude cal spreads on ICE it was FIFO so we wld get in early and queue but then they started running the machines 23hours a day, the earliest we cld trade was 5am so once again we were stuck at the back of a few thousand and that was that. any small edges like that soon go in whatever market. one algo would only bid (or offer) a price if the offer (or bid) was under a certain size, so if you needed to join that bid queue then i wld stick a cpl of hundred on the offer & cancel v quickly and i wld be bumped to the front of the bid. that lasted about a month.
i used to get frustrated at exactly the same thing in numerous markets, trading outrights i no longer have to care, though i have had to take a year+ out to work on it.
can your style/strategy be transposed to other markets?
