ES on floor information

September 28th, 2012, 03:22 PM

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?

September 28th, 2012, 04:11 PM

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."

September 29th, 2012, 03:20 AM

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.

September 29th, 2012, 04:42 AM

Here is an article that contains a short desciption of the concept.

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

September 29th, 2012, 08:01 AM

Fat Tails

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.

ES on floor information

Discussion in Emini and Emicro Index

ES on floor information