Forum: Emini and Emicro Index
November 7th, 2013, 08:25 PM
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Replies: 43
Views: 27,458
I do think some sort of reconstruction is...
I do think some sort of reconstruction is necessary.
I think what you need to be looking for is bursts of large trades. One on it's own could just be half of a stat arb trade being executed.
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Forum: Emini and Emicro Index
November 7th, 2013, 12:40 PM
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Replies: 43
Views: 27,458
As has been mentioned - this could end up being...
As has been mentioned - this could end up being pretty meaningless.
A large trade will only be reported in US Futures markets when a large market order hits a large limit order. Size reported will...
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