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.
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.
