How do you recognize a commercial trade block?

Discussion in 'Strategy Building' started by MarkBrown, Dec 6, 2016.

  1. MarkBrown

    MarkBrown

    I was wondering if anyone is identifying commercial trades on the e-Mini S&P Futures?
     
  2. algofy

    algofy

    My dom shows a little c when it's a commercial trade.
     
  3. xandman

    xandman

    Time and Sales filtered for large trades?

    I would be more interested in Individual Block Trades. o_O
     
  4. Big AAPL

    Big AAPL

    I would think most retail level data feeds provide some type of aggregated trade reporting on their T&S. I use CQG with a block filter of 20, 50, or 80 depending on the time of day or volume level we happen to be experiencing. What I do, is watch the tape and if it is slow and see a 20 or 50 go through I honestly don't put much weight into it because it could just be an aggregate of retail orders going through at the same time. However, if the tape is moving very fast and I see 50's and 100's going across one after the other I can reasonably assume that a big player is moving some size, especially if it is moving the price.
     
  5. MarkBrown

    MarkBrown

    in the old pit days you would give them a 30 tick range say for 500 to 1500 contracts it was always interesting to watch them get filled on a tick chart. you could actually see your trade getting filled.
     
  6. Robert Morse

    Robert Morse Sponsor

    Many block trades are crossed in the SP contract.
     
    xandman likes this.
  7. MarkBrown

    MarkBrown

    clearly there are reactions just after commercial trades and i have been thinking about isolating and studying specifically those events.
     
  8. Big AAPL

    Big AAPL

    Now that is interesting...
     
  9. algofy

    algofy

    Good luck figuring it out with all the nondirectional spreaders in the ES. Lots of size comes in that isn't a directional play, just a big player laying off risk or hedging against a basket of stocks or other indexes or (insert trading idea here).
     
  10. MarkBrown

    MarkBrown

    if it were clear to see commercial blocks and you could isolate them you would probably have a edge. so i think it is worth while to pursue, problem is from what i am hearing "identifying"?
     
    #10     Dec 6, 2016