The anonymity of traders is an instrument that enforces an advantage that institutional traders will have through their dealers. They have an edge on the markets through this, since they have a better overview of individual and accumulated positions on an exchange system - enabling better calculated decisions. I.e trading anonymity is a system deficiency open for exploitation and works contrary to a fairly balanced free market.
If there are big blocks going through it is because someone wants you to see them, or doesn't care that you see them e.g. because it's "game over" (e.g. the pit fading paper at chart points) or because they don't have time to screw around. You would be surpised how small a team of institutional dealers will break up an order, as will an algorithm. Brokers get paid on volume. Recognise that they are either trying to get VWAP+ for their clients or are trying to generate as much volume as possible. They are not playing the same game as us. They are not always seeking to make money directly from buying at one price and selling at another - sometimes they make money indirectly from doing this. e.g stop running, or another example, 25% of the cash volume in HSI is index warrants. The warrant players follow the futures and the Pied Piper makes the futures dance.
Do you really want to follow institutions? Let's take George Soros for example, he's buying Lehman Bros. He may wait 2 or 3 years to see profits on this trade. Can you?
Exactly. To me its alot easier than all this. If you look at NYSE volume breakdowns for almost any time period, 90% of prints you see are the "big guys". The retail crowd is pathetically small account size wise vs the sum total of the big guys money.
Keep in mind that most of the big hedge funds and smart money do alot of their trading through ECN's and dark pools. If Soros is buying a million shares he might be doing it 100 share increments over the day from an ECN or taking it down in a couple gulps through a dark pool that no one can track him in, even the broker won't know who is buying.