Here is a nautical chart of the ES futures, at ane time amongst each bar representing 60,000 contracts to plough over a wider-angle sentiment of the morning time trade. Notice how nosotros are edifice book lower as well as beneath VWAP, every bit the marketplace is having problem sustaining prices inwards a higher house VWAP. Those failed bounces inwards a higher house VWAP where buying has near off accept made prissy short-term fade trades.
If the information within the bar as well as at the histograms hold off odd, it's because exclusively trades of 250 contracts as well as larger are recorded. That way, I encounter where large transactions are occurring within the bar as well as over time. While non all large trades as well as traders are moving blocks of 250 contracts at a time, nosotros tin encounter that a reasonable percent of the 60,000 contracts per bar consist of the book from those large trades.
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