I heard a little rumor, 80% of volume on CME GLOBEX is AUTOMATED?

Little rumor I heard, wanted to know what you all thought. I would like to think discretionary trading makes up more volume than that.

I heard algorithm trading is becoming the mass majority, true?

 

where have you been? maybe if your post was done in 2002 it would have caused some interest.

 

All these algos can't be winners.. could 80% all profit off of 20%.. what's going on, are lots of people's algos losing but they are hoping to turn it around?

 

I like to follow Cross Currents (www.crosscurrents.net). Every once in a while since late 90's he speaks to the (former) stock market bubble. He has been lamented the % of program trading on the NYSE. It is above 50% I expect although I haven't check recently.

So, program trading on NYSE and auto trading on ES, and probably by many of the same people at the same time.

That makes it pretty tough for the small guy with limited capital and a short time frame.

 

I was thinking the same. I don't think more than 55-60% of the volume can be winners at most (probably less than 50 is more real), so 20-25% would run a losing algo? What is the point of that? Something doesn't seem to fit...

 

Automated does not necessarily mean automated strategy.

It could cover anything automated like a large scale buy or sell order that gets worked by an algo routine.

 

1) Among the "80%" of algo traders, some are winners, some probably are losers. Their profitability should diminish as the market becomes overcrowded with too many algos wanting to do the same thing at the same time.
2) Among the "20%" of discretionary traders, some are winners, some probably are losers.
3) Regardless of the type of trader and percentage volume breakdown, some will profit, some won't.
4) Some of these traders can be net losers at the CME but profitable on other exchanges because of other hedge-related trading.

 

What makes you think external automation is driving the prints.

 

Yes, the original bots that I recall were for getting the best fills, nothing more....

 

Plus, do not forget a lot of that is arbitrage.

Options pricing is basically automatic based on basic pricing models - based on underlying futures. Futures are hedged against stock baskets or other markets.

In the forex side, the futures surely get automtically arbitraged against forex market offers - can be seen nicely in the night, when bid and ask move in unison with forex and noone really trades.

All that happens fully automatic these days And definitely should make up a lot of volume