consider this: lots of people use volume for decision making as it is popularised quite a bit and seem to provide some edge. As technology now here, algos can be programmed to take money from these players.
Hi, Old thread but interesting subject. Thought I'd offer the following: Large trades could be randomly exchanged at the bid/ask with the sole purpose of artificially masking any usable volume information. If there were only one institution doing it they would filter out their own interference noise and retrieve the usable genuine information. Of course if anybody else also did their own interference... then nobody could retrieve the original info. Which suggests (to me) it may be a self defeating practice. Very interesting though. On a related question: Do institutional players know the identity of the parties in any trade in the futures market? In real time? Thanks - ras72