Average order size

NexusFi · 2015-10-07T02:06:44-04:00

Here you go, since beginning of this year. I've looked at this for several years now, it really doesn't change in a meaningful way. All the big boys use iceberg orders. ES MariaDB [ticks]> select MONTHNAME(`Date`) `month`, AVG(`LastSize`) `avgsize`, MAX(`LastSize`) `maxsize`, SUM(`LastSize`) `totalvol` from `@ES#` where `Date` > '2015-01-01' group by MONTHNAME(`Date`) order by MONTH(`Date`); +-----------+---------+---------+----------+ | month | avgsize | maxsize | totalvol | +-----------+---------+---------+----------+ | …

Discussion in Emini and Emicro Index

Updated October 7, 2015

Average order size

October 7th, 2015, 02:06 AM

#11 (permalink)

Big Mike

Manta, Ecuador

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I'm not using a bar. Or a chart. I'm using trades. I'm not sure you are understanding.

A trade can be of any lot size. What I reported is based on each trade.

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