yesterday was a fairly heavy volume day, so i took the ES tick chart and looked at the distribution of the volume (the data table attached) - looks like almost 3/4 of the total volume is traded in 6-25-lot blocks - i understand that some of these may be parts of scaled, bigger orders/trades. i am interested to find out which trader groups/categories might drive the volume is this 6-25 lot segment (if it's appropriate to look at this segment separately) for example, is there a way to find out how much volume do the locals in the pit do in aggregrate for their own account... - that would be one group - i don't have access to the pit contract data, i understand the volume there is smaller than ES but still this would be relevant/comparable data. i do not have access to CME's subscription based data - do they offer any data of this sort? in general, the information that i have seen in terms of identifying the players is mostly limited to (a) the aggregate program trading volume on the NYSE and (b) the commerical interest in the futures. is anyone aware of any other sources of this type of information, hopefully more specific than what one sees in the general press? thx in advance.
from IQfeed's backfill - the total volume very closely matches cme's official reported volume from here: ftp://ftp.cme.com/pub/daily_volume/daily_volume_20050830.xls for the table, i have used the volume from 9:30EST to 16:15EST - i can not match cme's volume precisely because i use Ensign which only allows a max of around 65000 bars per chart, and unfortunately yesterday's overnight session starts only around 3am EST.
Be aware that IQFeed combine prints into one - so 7 1 lot trades back-to-back might show as one 7 lot trade. Most data feed providers do this as a way to cut down on the bandwidth. IMO, because of that, your premise of "3/4 of the total volume is traded in 6-25-lot blocks" is flawed and probably untrue.
maybe using a squawk box service for the SPOOS to give you a feel for the numbers the "locals" and paper ( brokers ) are doing in the big SP 500 pit would be of some use to you
when did you check with them last time? i just logged into their website and chatted with tech support - i was told they do not edit ticks - they confirmed that their ticks should match CME's own data.
ok i understand your point but i am not trying to dissect every tick to find out who it belongs to... - i am trying to get an overall picture of the participants via the data that is / may be already available - for example, one distinct category i was thinking of is the registered market makers and how much of the total volume they handle - the question is whether CME makes this data available.
Interesting, So therefore you could identify the participants and track their prorated/ontrack volume expectations intraday, then extrapolate a direction they are taking from the beginning of the session throughout the day, to form sort of a bias and what is driving the market. Folks I believe he has a valid point if he can identify the who and when. The squawk box can do this also, as another poster mentioned. Michael B. P.S. What will retail traders think of next!