14:00 CT - Total volume 4968; Large volume 2065
14:05 CT - Total volume 9042; Large volume 3599
14:10 CT - Total volume 26,964; Large volume 13,232
14:15 CT - Total volume 23,810; Large volume 11,506
14:05 CT - Total volume 9042; Large volume 3599
14:10 CT - Total volume 26,964; Large volume 13,232
14:15 CT - Total volume 23,810; Large volume 11,506
What we see is that about 40%-50% of volume is transacted in reasonably large sizes. In future posts, I'll be looking to see if the behavior of these larger transactions differ in meaningful ways from the smaller ones.
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Posts
2 comments:
I too am seeing plenty of large lot trades but this doesn't really tie in with the CME changing their engine. Thus I am now investigating eSignal time and sales data which I suspect is suspect. It will be interesting to get to the bottom of this one way or another. Again, thanks for your trouble Brett.
David.
DaveO:
I use IQFeed and have seen some changes. I've spoken with the CME about the changes and they said I should be focusing in on my data provider for an explanation on how they, IQFeed), will be handling the changes. The CME person I spoke with mentioned a 5799 Tag and how data providers will be delivering data using that tag. I spoke with tech. support at IQ on 10/8, 4 days after the change, and they weren't even aware of any changes from the CME. I have since demanded technical information on how they will be implementing any changes. Still waiting for a final outcome.
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