Friday, October 09, 2009

Changes in Tracking the Behavior of Large Traders

Thanks to an alert reader for passing along this note from Market Delta regarding changes in how the CME is reporting volume data. By unbundling trades and reporting multiple, smaller transactions where only one large trade was formerly reported, the exchange has made it more difficult to track the activity of large traders.

I'll be looking into this in the near future. Depending upon the unbundling scheme, it may be possible to still monitor large traders simply by lowering the threshhold for what qualifies as a large trade. If the trades are unbundled into one and two lots, of course, this would be impossible. In that event, it would be necessary to aggregate the trade data over short time periods to infer the presence and activity of large participants.

More to come.