Info!! I Observation Regarding The Distribution Of Merchandise Sizes Inward Es Futures

As an initial exercise, I took a hold back at the showtime x minutes of trading inward the S&P 500 Index (ES) futures. We transacted 82,782 contracts. Here's a breakdown of 10-minute book past times merchandise size:

1 lots: 7341 contracts
1-5 lots: 24,847 contracts
6-10 lots: 10,791 contracts
11-49 lots: 25,997 contracts
50+ lots: 21,147 contracts

As reported earlier, the CME is reporting book inward smaller blocks, based on the identity of the counterparty. Thus, if you lot sell a 50-lot, this would last reported equally l one-lot trades if you lot transacted alongside l dissimilar counterparties. Conversely, it could last reported equally a unmarried merchandise if ane counterparty took the other side.

The distribution of merchandise size from the picayune practise higher upward suggests that a pregnant part of book is transacted inward sizes of 11+ contracts; almost a quarter of book transacted inward 50+ lot units. In futurity exercises, I'll essay other fourth dimension periods during the day.
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