I was taking a await at the distribution of book for the ES futures for trades during the offset one-half of Friday's trading session. Of detail interest:
* Trades of twenty contracts or to a greater extent than made upwards almost 7% of all trades, but accounted for almost 56% of all book inward the ES contract;
* Trades of 10 contracts or to a greater extent than constituted a picayune less than 15% of all trades, but comprised a picayune over 70% of all volume;
* One-lot trades accounted for slightly nether 50% of all trades, but exclusively almost 8% of full volume;
* Trades of 100 lots or greater accounted for exclusively almost .6% of all trades, but almost 15% of full volume.
Many professional person traders merchandise inward lots of 100 contracts or more, but it is rare for these traders to execute trades inward such large blocks. Rather, they utilise clerks and/or automated algorithms that ordinarily interruption their blocks into smaller pieces of 10 contracts or more. While it is possible that a run-of-the-mill retail trader mightiness move executing twenty contracts or to a greater extent than at a time, that is the exception, given high retail commissions. More often, these larger trades are placed past times prop traders or are work of larger block executions from institutions.
Where are large trades hitting the market? At breakout levels? At the bid? At the marketplace offer? Early inward the day? By tracking *who* is inward the marketplace as well as when, nosotros tin infer of import persuasion trends as well as shifts inward the stock market.
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