Can anobody explain how the trades are reported in globex in the following situation? June 8th, 2007, ER2@GLOBEX 9:18:16 there was a +2.5K trade while the market was very thin (both bid and ask depth only about 20-40 contracts, 5 levels combined). Just before the trade price was still quite stable. If someone hits the bid/ask with large order in this situation it must move the market also large. What am I missing? Or is is so, that it is possible to split the large order to the smaller parts and the trade will be reported only when the whole order is filled/executed?
cme used to have something called LOX (large order execution). this was years ago, prior to globex, but there might be something like it today
More than likely, this was a prearranged trade. You would want to look at CME policy 539. CBOT has a similar policy. ... rj