Emini Average Trade Size Halves (Emini daily)
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.
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).
Big Mike’s forum has a discussion of the CME changes here.
Good luck with your Emini day trading.