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Average order size
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Average order size

  #1 (permalink)
Elite Member
baltimore marylnd
 
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Posts: 69 since May 2013
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Average order size

hi, i'm trying to do some order flow analysis. i'm curious if anyone has a way to get an average order size for a given instrument. most of these orders go so fast on time and sale. and what sucks even more is that, even if you can build an indicator to chart those orders.. to calc out average order size.. in NT.. that data disappears anytime you refresh the chart or restart NT. what i'm trying to do is look at only orders greater than X threshold. So to try to look at commercial players rather than retail players.. to see which direction they are trading etc. So it would be nice to get:

ES average order size =1 contract
NQ avg order size = 10 contracts
CL avg order size = 1

for the past.. 30 days etc. Where can i get this info?

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  #2 (permalink)
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  #3 (permalink)
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calhawk01 View Post
hi, i'm trying to do some order flow analysis. i'm curious if anyone has a way to get an average order size for a given instrument. most of these orders go so fast on time and sale. and what sucks even more is that, even if you can build an indicator to chart those orders.. to calc out average order size.. in NT.. that data disappears anytime you refresh the chart or restart NT. what i'm trying to do is look at only orders greater than X threshold. So to try to look at commercial players rather than retail players.. to see which direction they are trading etc. So it would be nice to get:

ES average order size =1 contract
NQ avg order size = 10 contracts
CL avg order size = 1

for the past.. 30 days etc. Where can i get this info?

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.

 
Code
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 |
+-----------+---------+---------+----------+
| January   |  2.8966 |    1015 | 38196390 |
| February  |  3.0204 |     952 | 25386039 |
| March     |  3.1964 |    1840 | 29165480 |
| April     |  3.1518 |    1082 | 26535337 |
| May       |  3.1050 |     856 | 24320609 |
| June      |  3.1446 |     989 | 29474232 |
| July      |  3.2449 |    1026 | 32804730 |
| August    |  2.9823 |    1000 | 45997487 |
| September |  2.6202 |    1153 | 33657911 |
+-----------+---------+---------+----------+
9 rows in set (3 min 28.65 sec)

NQ

MariaDB [ticks]> select MONTHNAME(`Date`) `month`, AVG(`LastSize`) `avgsize`, MAX(`LastSize`) `maxsize`, SUM(`LastSize`) `totalvol` from `@NQ#` where `Date` > '2015-01-01' group by MONTHNAME(`Date`) order by MONTH(`Date`);
+-----------+---------+---------+----------+
| month     | avgsize | maxsize | totalvol |
+-----------+---------+---------+----------+
| January   |  1.5278 |     238 |  6832253 |
| February  |  1.5217 |     241 |  3976582 |
| March     |  1.5309 |     191 |  4826594 |
| April     |  1.5564 |     386 |  4604376 |
| May       |  1.5567 |     181 |  3877128 |
| June      |  1.5571 |     213 |  4361312 |
| July      |  1.5235 |     262 |  5030786 |
| August    |  1.4055 |     329 |  7307392 |
| September |  1.3434 |     257 |  5602832 |
+-----------+---------+---------+----------+
9 rows in set (1 min 8.20 sec)

YM

MariaDB [ticks]> select MONTHNAME(`Date`) `month`, AVG(`LastSize`) `avgsize`, MAX(`LastSize`) `maxsize`, SUM(`LastSize`) `totalvol` from `@YM#` where `Date` > '2015-01-01' group by MONTHNAME(`Date`) order by MONTH(`Date`);
+-----------+---------+---------+----------+
| month     | avgsize | maxsize | totalvol |
+-----------+---------+---------+----------+
| January   |  1.4351 |      83 |  4145817 |
| February  |  1.4297 |      74 |  2342563 |
| March     |  1.4326 |     128 |  2631418 |
| April     |  1.4368 |      82 |  2965955 |
| May       |  1.4521 |     100 |  2555267 |
| June      |  1.4704 |      99 |  3027165 |
| July      |  1.4275 |     132 |  3057932 |
| August    |  1.3695 |     104 |  4640542 |
| September |  1.3299 |      83 |  3363838 |
+-----------+---------+---------+----------+
9 rows in set (44.68 sec)

CL

MariaDB [ticks]> select MONTHNAME(`Date`) `month`, AVG(`LastSize`) `avgsize`, MAX(`LastSize`) `maxsize`, SUM(`LastSize`) `totalvol` from `QCL#` where `Date` > '2015-01-01' group by MONTHNAME(`Date`) order by MONTH(`Date`);
+-----------+---------+---------+----------+
| month     | avgsize | maxsize | totalvol |
+-----------+---------+---------+----------+
| January   |  1.4599 |     988 |  7322841 |
| February  |  1.4786 |     952 |  8618986 |
| March     |  1.4153 |     574 |  7901976 |
| April     |  1.4996 |     944 |  7619468 |
| May       |  1.5129 |     998 |  6232022 |
| June      |  1.4797 |     999 |  6372420 |
| July      |  1.4865 |     999 |  7027171 |
| August    |  1.5741 |     999 |  8380764 |
| September |  1.4921 |    1000 |  7558051 |
+-----------+---------+---------+----------+
9 rows in set (1 min 38.42 sec)
Mike

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  #4 (permalink)
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BTW, here is a breakdown of ES by hour of day (eastern)

 
Code
MariaDB [ticks]> select HOUR(`Date`) `hour`, AVG(`LastSize`) `avgsize`, MAX(`LastSize`) `maxsize`, SUM(`LastSize`) `totalvol` from `@ES#` where `Date` > '2015-01-01' group by HOUR(`Date`) order by HOUR(`Date`);
+------+---------+---------+----------+
| hour | avgsize | maxsize | totalvol |
+------+---------+---------+----------+
|    0 |  1.9687 |     752 |   604331 |
|    1 |  2.0390 |     375 |   866964 |
|    2 |  2.2513 |     608 |  2056622 |
|    3 |  2.3332 |     681 |  4731520 |
|    4 |  2.4095 |     708 |  4043768 |
|    5 |  2.4541 |    1153 |  3359752 |
|    6 |  2.5670 |     680 |  3519191 |
|    7 |  2.8068 |    1840 |  4852315 |
|    8 |  2.6387 |     823 |  8476147 |
|    9 |  2.8569 |    1000 | 41440590 |
|   10 |  2.8878 |    1000 | 43954687 |
|   11 |  3.0122 |     700 | 32348414 |
|   12 |  2.9818 |     798 | 22064493 |
|   13 |  2.9835 |    1026 | 21225815 |
|   14 |  3.0247 |    1100 | 25778746 |
|   15 |  3.6113 |    1082 | 43789763 |
|   16 |  5.4610 |    1015 | 15559966 |
|   17 |  3.4274 |     499 |   375100 |
|   18 |  2.4488 |     738 |  1349134 |
|   19 |  2.0845 |     800 |   759627 |
|   20 |  1.9754 |     600 |  1258752 |
|   21 |  2.0210 |     500 |  1270358 |
|   22 |  2.0192 |     925 |  1035694 |
|   23 |  2.0132 |     388 |   816466 |
+------+---------+---------+----------+
24 rows in set (2 min 28.70 sec)
Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

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The following 5 users say Thank You to Big Mike for this post:
 
  #5 (permalink)
Elite Member
baltimore marylnd
 
Futures Experience: Beginner
Platform: ninja
Favorite Futures: es
 
Posts: 69 since May 2013
Thanks: 1 given, 6 received


Big Mike View Post
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.

 
Code
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 |
+-----------+---------+---------+----------+
| January   |  2.8966 |    1015 | 38196390 |
| February  |  3.0204 |     952 | 25386039 |
| March     |  3.1964 |    1840 | 29165480 |
| April     |  3.1518 |    1082 | 26535337 |
| May       |  3.1050 |     856 | 24320609 |
| June      |  3.1446 |     989 | 29474232 |
| July      |  3.2449 |    1026 | 32804730 |
| August    |  2.9823 |    1000 | 45997487 |
| September |  2.6202 |    1153 | 33657911 |
+-----------+---------+---------+----------+
9 rows in set (3 min 28.65 sec)

NQ

MariaDB [ticks]> select MONTHNAME(`Date`) `month`, AVG(`LastSize`) `avgsize`, MAX(`LastSize`) `maxsize`, SUM(`LastSize`) `totalvol` from `@NQ#` where `Date` > '2015-01-01' group by MONTHNAME(`Date`) order by MONTH(`Date`);
+-----------+---------+---------+----------+
| month     | avgsize | maxsize | totalvol |
+-----------+---------+---------+----------+
| January   |  1.5278 |     238 |  6832253 |
| February  |  1.5217 |     241 |  3976582 |
| March     |  1.5309 |     191 |  4826594 |
| April     |  1.5564 |     386 |  4604376 |
| May       |  1.5567 |     181 |  3877128 |
| June      |  1.5571 |     213 |  4361312 |
| July      |  1.5235 |     262 |  5030786 |
| August    |  1.4055 |     329 |  7307392 |
| September |  1.3434 |     257 |  5602832 |
+-----------+---------+---------+----------+
9 rows in set (1 min 8.20 sec)

YM

MariaDB [ticks]> select MONTHNAME(`Date`) `month`, AVG(`LastSize`) `avgsize`, MAX(`LastSize`) `maxsize`, SUM(`LastSize`) `totalvol` from `@YM#` where `Date` > '2015-01-01' group by MONTHNAME(`Date`) order by MONTH(`Date`);
+-----------+---------+---------+----------+
| month     | avgsize | maxsize | totalvol |
+-----------+---------+---------+----------+
| January   |  1.4351 |      83 |  4145817 |
| February  |  1.4297 |      74 |  2342563 |
| March     |  1.4326 |     128 |  2631418 |
| April     |  1.4368 |      82 |  2965955 |
| May       |  1.4521 |     100 |  2555267 |
| June      |  1.4704 |      99 |  3027165 |
| July      |  1.4275 |     132 |  3057932 |
| August    |  1.3695 |     104 |  4640542 |
| September |  1.3299 |      83 |  3363838 |
+-----------+---------+---------+----------+
9 rows in set (44.68 sec)

CL

MariaDB [ticks]> select MONTHNAME(`Date`) `month`, AVG(`LastSize`) `avgsize`, MAX(`LastSize`) `maxsize`, SUM(`LastSize`) `totalvol` from `QCL#` where `Date` > '2015-01-01' group by MONTHNAME(`Date`) order by MONTH(`Date`);
+-----------+---------+---------+----------+
| month     | avgsize | maxsize | totalvol |
+-----------+---------+---------+----------+
| January   |  1.4599 |     988 |  7322841 |
| February  |  1.4786 |     952 |  8618986 |
| March     |  1.4153 |     574 |  7901976 |
| April     |  1.4996 |     944 |  7619468 |
| May       |  1.5129 |     998 |  6232022 |
| June      |  1.4797 |     999 |  6372420 |
| July      |  1.4865 |     999 |  7027171 |
| August    |  1.5741 |     999 |  8380764 |
| September |  1.4921 |    1000 |  7558051 |
+-----------+---------+---------+----------+
9 rows in set (1 min 38.42 sec)
Mike



you are DA MAN! Thanks. Curious... is this a personal DB or external?

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  #6 (permalink)
Site Administrator
Manta, Ecuador
 
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Platform: My own custom solution
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calhawk01 View Post
you are DA MAN! Thanks. Curious... is this a personal DB or external?

Private. I'm on my phone, but search for "custom platform" for details on my platform

Sent from my phone

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
 
  #7 (permalink)
Trading Apprentice
Bangor, Wales
 
Futures Experience: Intermediate
Platform: TradeStation
Favorite Futures: TF
 
Posts: 9 since Sep 2015
Thanks: 1 given, 3 received


calhawk01 View Post
hi, i'm trying to do some order flow analysis. i'm curious if anyone has a way to get an average order size for a given instrument. most of these orders go so fast on time and sale. and what sucks even more is that, even if you can build an indicator to chart those orders.. to calc out average order size.. in NT.. that data disappears anytime you refresh the chart or restart NT. what i'm trying to do is look at only orders greater than X threshold. So to try to look at commercial players rather than retail players.. to see which direction they are trading etc. So it would be nice to get:

ES average order size =1 contract
NQ avg order size = 10 contracts
CL avg order size = 1

for the past.. 30 days etc. Where can i get this info?

I understand what you are getting at here, but there's a sense in which the average (and only) order size on any exchange that permits partial fills of one contract units, will always be one.

If I place a 1 contract buy order now, and then another in five minutes time, are these the same order? You'd probably say that they're not, as there is a time lapse between them. But if I place a 2 contract buy order now, it is theoretically possible that my first contract will fill, then the market will trade at the bid for five minutes, and then my second contract will fill.

Even if my contracts fill one after another, there is a time-lapse between the two. The contracts in an order cannot fill simultaneously because they are queued, one after the other.

Given all this information, combined with the use of iceberg orders and all sorts of other clever disguise tactics, I think it might be unlikely that the average order size data you're looking for would be much help. Just my opinion though!

Dave

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  #8 (permalink)
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Portland Oregon, United States
 
Futures Experience: Beginner
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Zondor's Avatar
 
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Clarification request

Are we talking about the average ORDER size, or the average TRADE size here?

Big Mike's data in this thread is actually for order size?

"If we don't loosen up some money, this sucker is going down." -GW Bush, 2008
“Lack of proof that something is true does not prove that it is not true - when you want to believe.” -Humpty Dumpty, 2014
“The greatest shortcoming of the human race is our inability to understand the exponential function.”
Prof. Albert Bartlett
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  #9 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,238 since Jun 2009
Thanks: 29,350 given, 83,214 received


Zondor View Post
Are we talking about the average ORDER size, or the average TRADE size here?

Big Mike's data in this thread is actually for order size?

My data is per trade (aka tick)

Sent from my phone

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
The following user says Thank You to Big Mike for this post:
 
  #10 (permalink)
Elite Member
Portland Oregon, United States
 
Futures Experience: Beginner
Platform: Ninjatrader®
Broker/Data: CQG, Kinetick
Favorite Futures: Gameplay Klownbine® Trading of Globex
 
Zondor's Avatar
 
Posts: 1,327 since Jul 2009
Thanks: 1,246 given, 2,635 received

How to calculate average trade size in Ninjatrader®


Average trade size is just the volume of the bar divided by the number of transactions (ticks) in that bar. Average order size is not something you would likely be able to calculate since huge numbers of orders are placed, and cancelled, at lightning speeds, relative to the number of completed trades.

For a tick bar chart calculating average trade size is trivially easy since the number of ticks per bar is constant.

For other types of bars:
  • In real time Ninjatrader 7 or 8 can easily do that, just count the number of bar updates per bar since each bar update corresponds to one completed trade.
  • For historical in Ninjatrader 7 add a secondary one tick dataseries and count how many times it fires per bar of the primary series.
  • For Ninjatrader 8 use the same code as for real time, but run the price series in tick replay mode.

"If we don't loosen up some money, this sucker is going down." -GW Bush, 2008
“Lack of proof that something is true does not prove that it is not true - when you want to believe.” -Humpty Dumpty, 2014
“The greatest shortcoming of the human race is our inability to understand the exponential function.”
Prof. Albert Bartlett

Last edited by Zondor; October 7th, 2015 at 02:26 AM.
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