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ES on floor information

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ES on floor information

  #1 (permalink)
Almaty Kazakhstan
Posts: 81 since Jun 2012
Thanks: 1 given, 6 received

ES on floor information

Hello, does anybody know anything about OFI (on floor information) like quantity of the transmitted and executed orders per day? If there any resources where I can get this information?

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  #3 (permalink)
Legendary Market Wizard
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josh's Avatar
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ES is only electronically traded, so there is no open outcry volume. Perhaps you mean the big S&P contract, which still does have a pit (SP). See this page for all volume information:

Equity Daily Exchange Volume & Open Interest

What you want is 8th from the bottom. Or if that's not what you mean, perhaps you could clarify what you mean by "OFI."

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  #4 (permalink)
Almaty Kazakhstan
Posts: 81 since Jun 2012
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It`s slightly not that what I mean. The formula for calculating OFI:

OFI=(Bought contracts/Buy orders)/(Sold contrats/Sell orders)

where "Buy orders & Sell orders" - contracts that entered in the limit order book. This formula was created by Peter Steidlmayer.

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  #5 (permalink)
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Here is an article that contains a short desciption of the concept.

ES on floor information-peter-steidlmayer-step-markets.pdf

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  #6 (permalink)
Almaty Kazakhstan
Posts: 81 since Jun 2012
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Fat Tails View Post
Here is an article that contains a short desciption of the concept.

Thank you for that document, but I read it already. I need any software or links on websites by means of which I could get the source data for calculation of this formula.

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