Which kind of Blockvolume is visible? - order processing - futures io
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Which kind of Blockvolume is visible? - order processing

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Which kind of Blockvolume is visible? - order processing

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  #1 (permalink)
Santa Cruz De Tenerife; Spain
Posts: 10 since Aug 2019
Thanks: 1 given, 10 received

Hi everyone here,

how is blockvolume and volume in general calculated? I am wondering this since several months and one vendor didn't answer the question really and the NT support neither. I still don't know whether the blockvolume indicator (specifically NT8) shows blockvolume of both limit and market orders or only of one of them.

The indicator gets its volume from a 1 tick data series and simply detects volume above a given size. 1 tick = 1 trade. Therefore I believe it shows block market orders only. But I am not sure.

Let's say there is a 500 contract sell limit and 400 individuals buy market into it. Probably this would create 400 ask-side ticks with roughly 1,25 volume each. But open interest for eg. shows both sides of the trade. So if this would apply for normal volume as well, this example would create 401 ticks with the last tick, when the block order is worked off, 1 tick with a volume of 500.

Now the question is how are orders processed really, and which block orders do really show up? I hope someone here knows! I posted it a second time here since it might have been off topic under platform and indicators.

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  #2 (permalink)
 Trembling Hand 
Melbourne, Land of Oz
Experience: Advanced
Platform: Sierra Chart, CQG
Broker: CQG
Trading: HSI
Posts: 194 since Jun 2011
Thanks: 18 given, 276 received

No idea what the NT indicator is calculating but a block trade maybe not what you think it is. CME has trades off market that they call Block Trades,

A Block Trade is a privately negotiated futures, options or combination transaction that is permitted to be executed apart from the public auction market.


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