packrat

Yes, very much so. Is the only real substance I have found on tape reading after much searching. If you are aware of any others, please let me know - it is a fascinating subject and has been very valuable so far

John, I haven't heard anything about it reverting back, could probably ask the video author or the CME. Can't imagine them doing it anytime soon given how long it took them to change it the first time. Regarding your second question, it would give a reasonable estimation of the actual order - close enough for govt work but no way to prove it was right on. When I went through his tape reading workshop, he showed screenshots of an altered T&S which went far beyond simply putting the order back together, but I believe it is in beta testing right now. It definitely made a lot of sense as he explained it. Glad the video helped - really allowed me to make sense of what was going on after a couple years of wondering about it.

JohnBly, There is not really a need for futures traders using large market orders to try to camouflage the size of their orders. This has been the case since the market open on Sunday, October 4, 2009. At this time, the CME changed its tick reporting on the ES, NQ, and YM, which were the last commonly traded instruments where this would be beneficial to a large trader. What you see now on the T&S which looks like bot entries is not usually a shredded order - it is simply the way the exchange now presents the actual executions that occur as a result of matching market orders with the queue. I am posting a link to an informative video which explains the why's and how's of what changed at that time and what we see now. There was an in-depth discussion of this on another forum, and a very experienced tape reader provided a fine explanation for us here: Just a thought on your comment regarding orders per second: Leading HFT's have the capability to submit over 60 million orders per second, although the exchange is unlikely to be able to process the flow if that were to occur. Goldman (far cry from the largest HFT out there) is reputed to average over 1000 orders per second the entire trading day. Some of the big firms are trading 2-3 times Goldman's daily volume. Regarding your question #2: On the majority of commonly traded futures, there is no longer a real need to break market orders up. Also explained in the video above. Regarding your question #3: skilled tape readers understand how to do it, and there is some software available to reconstruct the large order from the tape, but that would require promoting a commercial enterprise to post info here, if you know what I mean. Don't think that's accepted here, although many do try... Hope it helps!