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How is futures volume reported (split/combined/?)

  #7 (permalink)

Germany
 
Trading Experience: Intermediate
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Bundling partial fills doesn't make much sense since it only clouds reality and wastes valuable information.

With some delay, futures markets are experiencing the same fragmentation of orders and fills
that stocks had some years ago under the impression of HFT. Most orders simply exist in order
to ping the market, not in order to get filled with notable size. Virtual liquidity.

The average ES fills e.g. fell down to ~4 contracts in the meantime on Globex.
Valuable information is: A 9 contract "aggressor" is recognized as abnormal (i.e. "too big" in that case)
by the market as soon as she/he crosses the ping. Thus she/he will get a) partial fills nearly all the time
and b) often pay slippage when she/he eliminates the ping contract(s) and slips down/up to the next
tick(s) with the remainder.


Last edited by choke35; September 30th, 2017 at 09:14 AM.
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