In the wake of my recent post, here's another quick look at tracking large traders. I took 2 adjacent low volume and higher volume periods in today's ES trade and looked at how much of that volume was in transactions of 20 lots and greater.
What we see is that about 40%-50% of volume is transacted in reasonably large sizes. In future posts, I'll be looking to see if the behavior of these larger transactions differ in meaningful ways from the smaller ones.
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14:00 CT - Total volume 4968; Large volume 2065
14:05 CT - Total volume 9042; Large volume 3599
14:10 CT - Total volume 26,964; Large volume 13,232
14:15 CT - Total volume 23,810; Large volume 11,506
14:05 CT - Total volume 9042; Large volume 3599
14:10 CT - Total volume 26,964; Large volume 13,232
14:15 CT - Total volume 23,810; Large volume 11,506
What we see is that about 40%-50% of volume is transacted in reasonably large sizes. In future posts, I'll be looking to see if the behavior of these larger transactions differ in meaningful ways from the smaller ones.
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