you are missing the point - i am not looking for a tick by tick account of who is doing what - i am trying to gain a better understanding of the overall structure of the market which i trade - i think that among all the discussions here on calling the next tops/bottoms etc. there is a dire lack of information/discussion aimed at understanding the underlying mechanisms which drive the movement of these markets.
No sir Mr. Fader, I am not missing the point. Answer your question, and you will have a higher than 30% probability of a successful direction. Driven movement is a good thing....Its the "exlax" of directional action and ease of movement. Use your research to its advantage. Are we not here to make a profit and get an edge through the understanding you seek, or are you writing a paper, and not a trader? Michael B. Late edit to line 2
Something isnt right with that data. If you calculate the average lots per transaction, it doesnt fall into the corresponding range.
This might seem like "confirmation of the obvious" but daytraders are responsible for transacting ~80% of daily trading volume. The large speculative and commercial traders are responsible for the ~15% of daily trading volume that MOVES THE MARKET. When the market is moving, then you know that the big boys are doing big numbers. That's all.
As of last summer at least, the largest single institutional participant in ES was CBOE market makers.
res..whats up. Thats a very interesting statistic and Im curious how you came up with that. I knew you had done some work in this area. I thought at one time you were tracking all the 50 lots? I think that was you? Anyway, just curious as to how you got your hands on this info. Unless its a secret of course. Still hoping to meet up with you guys for a beer one night. Thanks Jim
excellent catch indeed, it seems in my zealous quest for data, i had an incorrect formula - here's the revised table, seems more logical, the 50-500 blocks are the larger contributors - i am not happy to have posted the buggy stuff, but obviously happens sometimes, my practice is always to check the totals at least, obviously in this case should have done more.. - of course always good to have another pair of eyes to check over, thx.
thx for the comment - it seems logical to me but not "obvious" at all, i.e. would be great to hear how you can estimate these percentages (unless it's the 80/20 rule... )
Dang, using the original supposedly wrong data, I devised a system that produced 79% winning trades and a 466% per annum ROI. Now that the data has been discredited, I'll have to junk it.