[quote name=
With the way CME unbundled some of the tick data' date=' isn't it easier to have commercial appear as retail?
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Yes the rub isn't it?
Here is a description of the new CME reporting I ran into:
"As of last Monday( early 2009), the CME changed the way that they disseminate trade information for equity index futures. Due to the changes, there are now 2.5 times more reported trades in the e-mini SP500. Here are the highlights and potential ramifications:
There used to be, on average, 1800 trades a day of 199 contracts or more. After the change, we are averaging about 400 trades a day of 199 contracts or more. In addition, the average trade size used to be 12 contracts. It is now between 3-4 contracts. Needless to say, it has become very difficult to follow "the smart money" (large buyers and sellers). This is because trade reporting is based on counterparties. Prior to the changes, if I placed an order to buy 100 contracts at market, the tape (time and sales) would show a single 100 contract market order executed, or possibly one 25 executed market order and a 75 executed market order (or something to that extent). After the CME changes, my 100 contract market order will now be reported based off of each counterparty. Therefore, if it takes 70 different counterparties to fill my 100 market order, the tape will reflect all 70 trades individually Keep in mind that it could be a single counterparty executing my trade, they could just be offering out 70 one and two lot offers as opposed to a single 100 lot offer (I called the CME, this is how they explained it to me)".
As for tracking retail vs block under these new conditions, I need to understand the exact CME trade reporting algos better before attempting to create a tool.
One basic concept I have is to track the mkt order volume over very small timeframes. If a 2000 lot block mkt order is being bled out in small lots, they are going to want to get it done fast so as not to telegraph, so one would expect flurry of trades at bid/ask over small time period (ei 1 sec). So perhaps this kind of thing could be filtered for.
If anyone feels they have a good detailed grasp of the CME trade reporting situation maybe they can post. Thanks.