Estimated volume - NYMEX/CBOT

Discussion in 'Financial Futures' started by erlewine, Aug 4, 2005.

  1. Does anyone know if there is any measure of intraday trading volume for pit traded contracts (crude, soybeans, etc...) available before the close?
  2. Volume Proxies???...............(1) You can estimate volume by way of the "TPO Count" off of the Market Profile. (2) I don't remember the precise name of it but the CBOT had/has something called the "CTI" page. It shows an intraday breakdown of volume by the four primary market participants. CTI1 is floor traders. CTI2 is commercial traders. CTI4 is retail customers. CTI3, the least relevant, is broker-to-broker trades. (3) Intuitively, you can realize that narrow-range days have low volume and large-range days have high volume, especially when prior price extremes are taken out.
  3. Accurate intraday NYMEX volume does not exist.