What is considered large size on the ES? In other words, what will large traders/institutions buy/sell on a single trade? Given the CME consolidates trades, you can't tell on the T&S. Thanks in advance.
1. CME doesn't consolidate trades. 2. Calculate init/main margin for a given size and you'll see how much was put on the trade. Trades well above 100 cars are very common.
1. Wrong. The CME has consolidated trades on Globex since 12/18/2005. Please refer to the CME document at http://www.cme.com/files/M6Aggregation.pdf
It says in the document you linked that the consolidation, or "aggregation" as they call it, seems to be what the OP is looking for. When a trade is executed, the T&S shows largest fill of the trades executed. 2 lot + 1 lot + 5 lot +2 lot --> 10 lot = 10 lot print Good luck to you. I haven't found any use in the T&S except for "after the fact" stuff which is hardly trade-able. One thing I have considered is tracking odd-size orders to see if its possible to track and potentially shadow profitable automated systems that have a position size algo and all-in-all-out approach. Might be possible... who wants to do the legwork?
Thanks. I thought I read that at one time but It was too late last night to get into a pissing match. I'm constantly seeing prints of 200, 300, 500, etc. That's why I asked.
This is aggregation, not consolidation. For an incoming market order you'll see a print that would match the order size, unless you sweep the book. In the sweep case you'll see several prints on each price level. Throw away your cheap consolidated (read snapshot-based) feed, get a real-time tick-by-tick feed and you'll see the difference.