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EOT Automated System

  #32 (permalink)

Trade with the flow
Paris, France
 
Futures Experience: Advanced
Platform: Market Delta & Ninjatrader
Favorite Futures: ES
 
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Posts: 2,565 since Jun 2009
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roonius View Post
Nobody exactly knows, but I believe CME is more granular now.
here is a quote from eSignal officials:

Pull up a chart of the average trade size. You'll see it got cut in half. One week it was 11 shares/trade and the next week it was 5.

Technically what happened is that they unbundled large trades and have broken them up. Roughly cut them in half. How this unbundling happens exactly we don't know. but what we do know is that the data we see is not the original data. If we see 50 shares on an order, it could have been 100, 500, or anything else.

This will wreck havoc with order splitters. Pretty much render them useless, as if they were of any use anyway.

In my trading, I increased the tick size for ES by a factor of 2 and I still didn't like it so I increased it a little more.

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