CME/CBOT hiding traders identification

Discussion in 'Index Futures' started by lwlee, Apr 15, 2006.

  1. lwlee


    WSJ had an article today saying that the id will no longer published. It becomes effective on April 30th on the CME.

    Apparently an owner of a brokerage firm felt there was not enough action to eliminate this advantage, so he told the exchanges that he was going to exploit the advantage. Now they're doing something about it.

    Does anyone know if there is an online presentation detailing how the CME electronic system works? The flow from once the buy order is executed on a client computer, then sent to the brokerage, and then how CME handles the order.
  2. On a somewhat related note, there is a little-known piece of useful information at the end of CME e-mini index futures order strings. In the 82nd position, if there is an 'R', this indicates 'retail' trader. Followed by that, there are six characters representing the margin per contract used by the 'retail' trader - this is in fields 83 through 88. In field 89, there is a 'L' or 'S' to indicate whether the side of the retail trade is 'long' or 'short'.

    For instance, if fields 82-89 show: 'R059000S', this means that the trade was placed by a retail trader that has almost maxed out his/her $500 margin futures daytrading account (using $590.00 margin per contract based on the volume traded), and is on the short side. You will find through simple research that the market tends to gravitate in the opposite direction of these trades, the strength of the move being inversely proportional to the square of the amount of net margin for the net retail position.

    Note that there are only 6 fields devoted to the margin field - this is because all trades placed by a retail trader that use $10,000 or more in margin per contract are excluded from this indication.

    For sale: Brooklyn Bridge. $928,124,492.19 - priced to move!

    Seriously though, your request sounds interesting.