You do realize that a single trade can be broken up in to multiple smaller trades, which would then be reported as smaller trades at the exchange, yes? My single 10-lot trade order could actually be broken into ten 1-lot trades, so my 10-lot order will skew those results if it is filled on 10 separate single-lot order tickets. As an observer without drilling down and looking at the fills, I would ASSUME that my 10-lot order moved the market, when in fact it did not.
This debate is a good read but perhaps you guys should consider the fact that ES and NQ are derivatives. I think the underlying move of the stocks constituting the indexes may have a bigger part then any size lot. How about you guys take some tick data, construct the indexes from tick data; compare it to the futures contract, and see which lags/leads. Should be an easy project lol.
1 lot trades represent only 40% of the volume. Not 80% like you told initially. And size does move the market, so not the 1 lot trader. Over 800,000 observations are statistically representative and not suspect at all. The fact that I had average size 1.81 and you had 1.94 ( so even higher then me) confirms that results did not change a lot.
you are right a your 10 1 lots moved the market. i guess i have to another video huh and move the market for you .. geeze.. like i said.. how can anyone argue that a 1 lot does not imapct the market. ru just fing with me? i mean cmon man get real..your 10 lot .. blah blah blah
you are a moron. 1 lots move the market. thi big orders reperesent less than a half percent of all trades and I showed you in a picure how an 80 lot in the russel 2000 which oly trades 150K contracts a day had no impact. Keep it up.. idiots here.
if you actually watch the DOM you will see that a 1 lot mkt order will jump the spread and move and the market.. all you are doing is trading at the offer when mkt is sitting at the bid if there are 100 to sell or 3 you still move the market up to that price. so how is that not moving the market?
all real trade matches move the market especially on a markte that is not allowed to LOCK which is another reason we have a lto of voaltility. you shoud bne able to put in intermarket sweep orders but we cannot
The underlying move should theoretically make the futures move. It should result in a change of supply and demand. So the underlying should be incorporated in the price of the futures. The price of the futures is the level at which people can buy or sell. If the underlying move would differ from the futures move, or if there would be lag, it would not matter as the only thing that matters is the price of the future. Because that's what will make your profit or your loss. The difference between the price you at which you bought the future and the price you receive for the sale will make up the profit or loss. No matter what the underlying does.