resinate - i assume that this ES volume is done as part of their hedging activity - i was wondering if you (or someone else) could clarify / confirm this, thx for the comments.
the answer is in the commitment of traders reports published every tuesday. it tells you how many contracts commercial, non commercials and non reportables (ie small traders) are holding. it will also tell you who the main organizations are in each category. as you rightly say, the 6-25 lot prints are larger orders broken up by algorithmic trading/black boxes for efficient execution. may want to read up on the prime brokerage model for this if its of interest (but little use unless you want to execute 1000+ lot trades - which you are not - otherwise you would know about cot reports). google it. interesting to see how the thread goes off on a tangent cos no one knows this basic stuff. viva ignorance & et blow hards.
FADER.................From a floor trading perspective, there are four categories of traders. "CTI1" are locals. "CTI2" are commercials. "CTI3" are brokers. "CTI4" is speculators. Generally, locals transact between 70%-80% of daily volume. Commercials do 10%-15%. Brokers do no more than 5%. Speculators do 10-15%. The CBOT provides this data throughout the day as trades are processed. The other valuable piece of data the CBOT provides is the "net position" of each category during the day. For example, at 9:00 AM, locals might be net long 2,000 contracts, commercials might be net long 1,500 and the speculators might be net short 3,500. This would usually be a good time to be "long the market" because the commercials are perceived as being "smart money" and the speculators are usually wrong. Waiting for imbalances to develop between the CTI2's & CTI4's is worth it. The "80/20" concept you mentioned doesn't really apply. If you can apply that data with the Market Profile, it can help you to "lean" in the right direction more often than not. It's more important to follow the commercials than to be concerned with an arbitrary lot-size of trading volume........unless of course it's a 10,000-lot done in a single trade.
so what happens when a commercial or a local trades through his broker?? what if the broker is also trading his own account??? i dont see this stuff as very relevant anyway unless you are dealing in huge size. getting on the right side of volume flow is too difficult for most, let alone figuring out where that volume is coming from as although you may figure this out, you wont figure out their time horizon. eg a commercial could be looking at months, or he could be getting out. a broker could be driving the price down before filling a commercials order. etc etc.
naz, thx a lot for the comments - this is excellent info - this is along the lines of what i was looking for - i have found further details this here http://cbotdataexchange.if5.com/Data_LDB.aspx - my current focus is in on the development of intraday trading strategies and my interest in this subject is an attempt to understand better who are the key intraday participants and get a higher level/general picture of which factors might be the key drivers of the intraday market behavior, which i hope can provide a more effective foundation for my strategies.
hold on before you start proclaiming ignorance... the COT reports is what i meant in my original post when i said "2) commercial interest" - i am looking for more specific information. "it will also tell you who the main organizations are in each category." - can you please provide a link to where this level of detail is disclosed? thx.
COT data is not really helpful for trading the S & P 500 futures or financials in general. Too many confounding factors. COT data on the Ags are useful. Some people do look at the size of the orders and plot those separately from the "small lot" traders. (Top Gun) This is a fruitful way to look at the SPOOS in my opinion if nothing else to gain a greater understanding of the players and the way they trade. Did you ever consider how the pit functions and how that might effect the electronic market and vice versa? For instance, with globex up 24 hrs there typically is no or little overnight orders waiting to be exectuted as in other commodity markets so the opportunity to "fade the open" is not as straight forward. Yes I think looking at market structure is very worthwhile. Good Luck.
I helped to develop the various volume profiling tools within Trademaven. Using Esignal as datafeed (esignal provides tick by tick, trade by trade data) Trademaven can filter each trade based on price, size, and whether or not the trade occurred at the bid or the ask. The filtered trades can then be "profiled". If one takes the time to play with it a bit, it becomes very clear that you can see very interesting patterns among various lot sizes in respect to valid supply and demand levels.