At closing time today, here's what the order book for the September INR/USD futures looked like:
The contract size is $1000 so a quantity of 500 corresponds to $0.5 million. Compare and contrast against where we started on 29th morning. At that time, the spread was Rs.0.0025, i.e. 1 tick, but the quantities were tiny. Now, we're seeing substantial quantities - in the top five prices there was a total mass of $28.1 million, summing across buy and sell. The total quantity in the book (going beyond five prices) was $50.6 million.