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EOT Automated System

  #56 (permalink)

Market Wizard
Columbus, OH
 
Futures Experience: None
Platform: NT 8, TOS
Favorite Futures: ES
 
Silvester17's Avatar
 
Posts: 3,382 since Aug 2009
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cunparis View Post
Thank you for your explanation. This is the first I've heard that CME was previously bundling trades together into one tick. I just went to CME and found this:

http://www.cmegroup.com/globex/files/EquityFuturesEnhancements.pdf



Now I understand Sylvester's point that a volume splitter could work better now than it did before (Putting aside the theories of why large traders are not always smart).

richard just used the same example as I tried to do. only he can explain better. glad he could clear that up.

re: To place more importance on some transactions than others is to assume way too much about those transactions. As I mentioned in a previous post. the S&P is widely used for hedging. Someone could take off a spread or a hedge and you'd see a big transaction. That doesn't mean that the trader had a directional bias on the S&P.

I mentioned that in another thread. that's exactly why I think a cot report is useless. and as I mentioned before also, I'm not looking at vol splitter as a signal to go long or short when I see a big order. I use it to identify if there's program activity. you can see that by the intensity. prob doesn't make sense.

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