How is futures volume reported (split/combined/?) | Traders Hideout


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

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choke35 View Post
Bundling partial fills doesn't make much sense since it only clouds reality and wastes valuable information.

I think that depends on what one is looking for. I look for professional activity so if someone hit the bid/offer for 100 I'd like to know that, instead of seeing trades for 1,1,1,2,5,1,2,10,3,2,15,1,4,2,1,3,1,1,3... etc. An aggressor bought 100, am I interested in knowing how it was filled? I prefer to know what the aggressor did because they are the ones that move the market.

It's too bad the datafeeds can't propagate all the information so we can decide what we want. As it is, one has to attempt to rebundle the unbundled trades and that's complicated.

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