Monday, October 12, 2009

Update on Tracking Large Trades

If you click on the 15-minute footprint chart from Market Delta, you'll see (inside each bar) the volume transacted at the market bid x the volume transacted at the offer for trades of 50 or more contracts. This is a slow day, so you wouldn't expect a large volume of large trades, but it does appear that it may still be possible to track large trades in spite of recent changes in the ways in which volume is being reported by CME. I'll be looking into this further later this week.