1 lots: 7341 contracts
1-5 lots: 24,847 contracts
6-10 lots: 10,791 contracts
11-49 lots: 25,997 contracts
50+ lots: 21,147 contracts
1-5 lots: 24,847 contracts
6-10 lots: 10,791 contracts
11-49 lots: 25,997 contracts
50+ lots: 21,147 contracts
As reported earlier, the CME is reporting volume in smaller blocks, based on the identity of the counterparty. Thus, if you sell a 50-lot, this would be reported as 50 one-lot trades if you transacted with 50 different counterparties. Conversely, it could be reported as a single trade if one counterparty took the other side.
The distribution of trade size from the little exercise above suggests that a significant portion of volume is transacted in sizes of 11+ contracts; about a quarter of volume transacted in 50+ lot units. In future exercises, I'll examine other time periods during the day.
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8 comments:
Excellent post
Thanks for your trouble brett.
David.
If you are a price action or time and sales tape reader, doesn't this turn your experience upside down?
The counterparty is responsible for what size we see on a time and sales, before it was the initiating party.
So now, there is a big seller ripping through the market, you don't see him on the T&S UNTIL he meets a responsive buyer of equal or greater size. So in theory you think the move is gaining speed cause big sellers are on the tape, but the reality is the move might be ending because the big seller was already there and finally hit the wall of a bigger buyer?
This doesn't particularly apply to my style but am I missing something?
Doc, should the second line read "2-5 lots" instead of "1-5 lots"?
I don't think you are missing anything :-)
Appreciate you digging into this.
a plethora of thanks..
i want to try this study:
make 2 separate vwaps, the first solely for large block trades and the other for small block trades. see if there's any differential, and see if there's any signal to be had
any thoughts?
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