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Yes, the numbers show the volume traded per sec and the average trade size during this time bracket.
Some clues regarding a) and b):
ad a)
The small stuff adds up. But in contrast to ancient times markets also have become much more efficient.
Which means that there is only small stuff to be expected while the large bait has virtually disappeared
which most of yesterday's traders extol in their memoirs. The existing traders / systems are battling for
ever-smaller fills.
ad b)
The average trade size in most liquid futures is below 5 during the main hours in the meantime.
CL block trades e.g. start at 50 (at the moment) which in turn means that you will not see any fills above
50 when they are closed unless the buyer and the seller want you to see it (or both don't
have Clearport permissions and/or no clue what they are doing - which I'd rule out concerning that size).
The powerful buy side which was the classical bait in ancient times and during the golden ages of HFT has
switched venues. You can monitor the leave by the dwindling volume of CME, Eurex, NYSE (regarding stocks)
etc main venues and main hours which is ongoing for several years.
You got it: You saw a reconstruction. At the time when you trade as a retail trader or more precise: when the trade
was closed you wouldn't have seen anything (unless they wanted you to see it).
Err, what do you think the reconstructed tape is exactly? What you see in the video is exactly what I saw when trading that day. I just record my screen for the whole session.
I suggest you invest some time reading the CME block trade rules - and esp the rules regarding trade disclosure.
In the end you will find that you have 2 components in your reconstructed tape: a) A realtime component that
consists of the small change and trades that were disclosed when they were closed and b) trades that max out
diclosure times.
Compared with ancient times the b) part of your reconstructed tape is delayed data.
Has the large bait really disappeared or are they still present just in a different guise? Instead of hanging large bait out there, they influence market direction using a multitude of different strategies.
On the block trades:
They are useful for large trades that want to go un noticed however you are not considering institutions whos objective it is to influence market sentiment and direction.
What makes you think these particular trades are from delayed data? There was about 250 bid, and that's what both of the sweep orders at that price came out to.
In many regards futures markets have evolved in a similar style like stock markets some years before under the
impression of HFT. In the main market, the majority of trades is 1 contract in the meantime. The reason is simple:
It's the cheapest way to find out if the current state is noise or if a 1 contract increment causes any move.
Under such circumstances everybody who reveals more information than that is a target. If you are a regular
target e.g. because it's part of your job as a funds manager, you can accept that (and lose money from the start)
or switch venues - dark pools or new exchanges like IEX for stocks; or block trading / Clearport for futures; or
off-exchange trades between funds, banks, brokers etc.
The second part is strategic disclosure: You choose your venues and disclosure times in order to send signals.
(Some of these signals end up as "fat finger" headlines because nobody is expecting large disclosed orders
or fills in the open market venues anymore. Regularly followed by some investigations.)
CME regarding block trades: "Ability to execute a large transaction at a fair and reasonable single price."
You have a single transaction that's more than 75 times the average trade size.
When I see a bird that walks like a duck and swims like a duck and quacks like a duck, I call that bird a duck.
Just to give an impression of the magnitude of potential dicrepancies that are caused by Clearport trades:
For the E-minies and CL the minimum threshold is 50 contracts, the reporting window is 5 mins.
I.e. using Clearport trades >=50 contracts leaves other market participants without a notice
for up to five mins.
contracts per trade during the main hours at the moment, most "stop runs" are simply
plain retail dabbler tinfoil hat theories.
Just an ES snapshot for …
:
Around 9:00, ~98 contracts are traded per second. If you entered a Clearport trade during that time period and other
Clearport trades aside, nearly 30.000 contracts (98 cons/sec x 60 (secs/min) x 5 (mins (at max)) = 29400 cons) could
have been traded before other market participants even learn about that trade.
(For other products and times the reporting window is up to 15mins.)
