Changes at CME and Emini Average Trade Size

Wow, what a massive response to my question about the Emini average trade size! Literally dozens and dozens of emails telling me about the changes made by the CME. Huge thank you to everyone who emailed.

Emini Average Trade Size Halves (Emini daily)

As of Sunday October 4th, the CME "enhanced" the reporting of trades to provide "more information at greater speed". They have done this by un-bundling larger trades and transmitting the broken up trade data more quickly. The results are:

• More trades or ticks over the same price action than were produced before
• More data transmitted, greater data storage required, slower historic data download, and
• Smaller Emini average trade size, down from 11 to 5 contracts

Firstly, a comment. The Professionals / "vested interests" have succeeded in degrading the information that retail traders receive. Previously, if a Professional executed a 500 contract trade, I could see it and tell it was Smart Money taking a position. Now, that 500 contract trade is broken down into say ten 50 contract trades. I have lost or have less visibility of the Smart Money action.

We do not have "more information at greater speed" – instead, we have more DATA at greater speed and less real information.

Secondly, the impact on my Emini day trading. Despite the personal rant above the impact on my Emini day trading is minimal. I've adjusted my tick chart settings from 233, 699 and 2,097 ticks to 500, 1,500 and 4,500 ticks. In addition, it appears that Professional and Amateur activity is still visible using the Better Volume indicator on tick charts (High Volume Churn and Low Volume bars).

If you want more information, there's a good article with charts here and some detail from the CME here.

Emini Uptrend Continues

Pull Back in Uptrend (Emini daily)

The Emini uptrend continues. We had a successful "Pull Back" (PB) in uptrend cyclical low, that appears to be holding. However, there's a lot of hysteria around Gold making new highs, the US Dollar collapsing and the "end" of the Recession.

Watch out. This could be designed to suck in the retail traders and allow the Professionals to exit their large positions. Bonds are quietly continuing their uptrend. And gap ups in the equity markets, like we had on Tuesday and are likely to have today, are designed to panic the Amateurs into chasing the market and buying.

TRIN Indicator (Emini daily)

Lastly, first sign of weakness on the TRIN indicator. We had Bearish Divergence with price making a higher high, but the adjusted TRIN reading making a lower high. A couple of days to go before the Better TRIN Oscillator reaches over-bought though. Good luck with your Emini day trading.

Did I miss something? Has the CME changed the way it reports trade data? Please, if you know the answer – put me out of my misery!

Emini 60,000 Tick Chart

The chart above shows a 60,000 tick chart with volume indicator below. This, therefore, shows me the average trade size. We've gone from an average of about 9 contracts per trade to 4 on Monday. What happened?

If you know the answer, please contact me via the Contact Form. Thank you.

Pull Back on Better Sine Wave (Emini daily)

Quick chart above shows we formed a Pull Back in an uptrend. This was the Support I was looking for. The usual pattern is that we continue the uptrend until an "End of Trend" warning signal forms.

Good luck with your Emini day trading. Click this link to read more about Tick Charts.

Good feedback from the last Emini Day Trading video, so I thought I'd post another. Follow this link to see the latest high definition Emini Day Trading video on the site.

This is a high definition video and may take 30 seconds to load. If you are having problems viewing the video you may need the latest version of the Adobe Flash Player.

You can click the "Full Screen" icon (beside the volume icon in the video controls) to see the video in full screen mode. Press Escape to exit full screen mode.

Emini Day Trading Example 4 June 2009 (6:50)

At 04:31 I say "selling pressure coming off". What I meant to say was "buying pressure coming off".

Apologies for ranting on in the video about the Better Momentum indicator. It will be released very soon! In the meantime I hope the video shows how I use:

• Price cycles from the Better Sine Wave indicator
• Professional – Amateur patterns from the Better Volume indicator and
• Bullish and bearish divergence patterns on the Better Momentum indicator

This is how the Emini Day Trading setup turned out

Good luck with your Emini trading.

This is a high definition video and may take 30 seconds to load. If you are having problems viewing the video you may need the latest version of the Adobe Flash Player.

You can click the "Full Screen" icon (beside the volume icon in the video controls) to see the video in full screen mode. Press Escape to exit full screen mode.

Emini Day Trading Example 28 May 2009 (5:27)

Good luck with your Emini trading.

Trying something different today – an Emini day trading video example. This is in response to an email question from Jim. It was not a trade that I took but he wanted me to go through how my indicators would have signaled a trade.

This is a high definition video and may take 30 seconds to load – Please be patient.

Emini Day Trading Example – 23 April 2009 (10:37)

Video contents:

• 0:30  Emini day trading screen setup
• 3:40  Minimum number of indicators, maximum amount of information
• 4:25  Highest time frame interpretation
• 6:10  Intermediate time frame interpretation
• 7:55  Lowest time frame interpretation

Follow these links to read more about Better Volume, Better Sine Wave and No Demand. Better Momentum has not been released to the public.

Did you find this video useful? Is this kind of content of interest to you? What could I improve? Feedback is appreciated. Good luck with your Emini day trading.

Another Emini day trading example today – combining volume patterns and cycles on tick charts. This was a Long trade that setup at 10:20am around the 776 level.

Emini Day Trading: 233 Tick Chart

On the 233 tick chart (lowest time frame) there was an "End of Trend" warning signal using the Better Sine Wave. This showed a possible reversal of the down trend.

The cycle signal coincided with first a Low Volume bar (yellow) and then a couple of High Volume Churn bars (blue). The Low Volume bar on a tick chart showed the average trade size was small and the Amateurs were hoping for a break to new lows.

The second High Volume Churn bar was also above the average (red line) – showing the trade size was large and Professionals were buying. The combination of "End of Trend" signal, Amateurs selling and Pro's buying made this a high probability Long entry.

Emini Day Trading: 2,097 Tick Chart

On the 2,097 tick chart (highest time frame) there was a cyclical low turning point. I like the combination of an "End of Trend" signal in the lowest time frame and a cyclical turning point in the highest time frame – increasing the odds that this would be a successful low turning point.

The Long trade entered at 776 was only good for 3 points or so, before the down trend resumed. However, it illustrates how you can use cycles with volume patterns on tick charts. In case you missed Wednesday's post on tick charts, you can check it out here: Tick Charts: 5 Great Reasons to Use Tick Charts.

Emini day trading example today. This was a Long trade that setup at 9:30am around the 750 level. I look for cycle and volume patterns to converge in 3 time frames: 2,097 tick, 699 tick and 233 tick. Here's what the 2,097 and 699 tick charts were showing.

Emini Day Trading: 2,097 tick Chart

At 9:30am we had a cyclical low turning point on the Hilbert Sine Wave. This was the second cyclical turning point after the "End of Trend" warning signal earlier in the day.

I like watching these because they often set up reversal entry points. The logic goes like this. The "End of Trend" signal shows a likely stopping point for the down trend (in this case). The market will then revert to a cyclical pattern – effectively entering congestion. The next up trend, and possible reversal entry point, is often signaled by the next cyclical low turning point – unless the down trend is strong and continues.

Emini Day Trading: 699 tick Chart

In the lower time frame, the 699 tick chart, we had one of my favorite Volume patterns – the "Red, White & Blue" signal. This also coincided with a cyclical low turning point in the Hilbert Sine Wave.

The "Red, White & Blue" name comes from the paintbar coloring I use on the Better Volume indicator. The volume pattern sequence goes like this:

1. Volume Climax down bar (white) shows extreme selling
2. High Volume Churn bar (blue) shows new buyers entering the market
3. Volume Climax up bar (red) shows aggressive buying and the start of an up move

So we had a high probability Emini day trading setup to go long around 750. Although the Emini eventually reached 777, I was out after taking my 4 points of profit (and off to bed as I live in Sydney, Australia).

Notice of Price Increase: The price of the Better Sine Wave indicator is going up at the end of the month. The indicator package has recently been upgraded and now includes built-in alerts, 9 high definition video tutorials lasting 54 minutes and a 55-page trading tutorial to accompany the videos.