Has anyone ever summed up all the "size" traded from T&S for the Emini, for a day - and then found the average size traded or the median size traded? I'm not technical enough to do it. If you were really slick you could do a bell curve on what size traded at what frequency.
I think Aaron Schindler did a study of that last year...And the average size was ridiculously small, relative to what most people estimated...Again, that was in 2002, and perhaps the study was before alot of volume moved into the e-minis...I think a more interesting study, if I were inclined to follow this stuff, would be to break down the day into 30 minute intervals and then find the average size per transaction for each interval...That would probably do it more justice since you would not want to average in the 3-4 hours of low volume activity along with the first 60 minutes and last 60 minutes...
vulture, great point. I think someone also mentioned on that thread (or somewhere else on ET) that the T&S report can sometime be misleading, because if I enter an order for 50 ES, it may come across the tape as 3,5,20,1,1,1,9,2,1,1,1,1,2,1,1 I think your advice to examine the volume at small time increments is good. I'm also hoping for some anecdotal feedback that will hopefully include traders' feel for putting on that kind of size. Thanks for your input!
Very much depends on time of day... at the open, you get some large prints, when the bigboys play with eachother...