Emini Trading by Trader Type (Average of 3-5 May 2010)
First of all – we’re back in Sydney, having had a glorious three and a half months in Hawaii. And as soon as we arrive, the wildest storm in 5 years hits Sydney and knocks out our power. Great. Still, it’ll generate some good surfing for the next few days. Today, even some of the inner harbour beaches were surf-able, which is very rare.
Anyway, not back to Emini trading yet – the jet lag really knocks me about on this leg of our travels. So in the meantime, I thought I’d post some stats on Emini traders that I’ve been sitting on for months.
The data comes from a joint report by the CFTC and SEC into the “causes” of the flash crash of 6 May 2010. Buried deep in the report are a couple of tables breaking down Emini trading volume by type of trader. The data that interests me is not the flash crash data from 6 May, but the comparative data for the 3 days prior. Those 3 days are “average” Emini trading days and show who trades what.
Here are my 3 “wow” reactions to the data. What do you think?
1. Fifteen HFT firms account for 1/3 of the Emini market
This really blows my mind. 15 High Frequency Trading (HFT) firms account for one third of the market. And given this data is for 2010, the situation today is probably even “worse”. They might account for half the Emini trades? And each firm is averaging over 3,000 trades per day. With every trade executed “at Limit” – no chasing the market by HFT firms, they just cancel/replace and let the market come to them.
2. There are only 12,000 Emini traders in total
Now this number seems waaayyy toooo small. I’ve guessed there were closer to 40,000 Emini traders in total before – but never had a source to back that number up. Emini-Watch has over 7,000 followers (by email, YouTube, G+, etc.) but they’re not all Emini traders by any means (plus some followers might be duplicate, i.e. email and YouTube). I think the CFTC/SEC have not captured the full Amateur side of the market. Although these Amateurs are only trading every other day (trades per day = 0.5).
3. Amateurs really do trade in singles (and Pros don’t)
Finally some data to support my contention that you can “see” when Amateurs and Pros are trading – and why the Better Pro Am indicator works. I always get push-back when I say you can use average trade size to id Amateurs and Professionals. The typical argument is “Professionals break up their large orders into small ones, so you can’t distinguish them from Amateur orders”. I’ve always said “Yes, up to a point”. Well, now we can see the Pros probably do break up their orders into 5-lots. But the Amateurs are only trading 1-lots!
So there you go. Some real-world data on Emini traders. Take it with a grain of salt. And if you know of any better data sources, please let me know.
If you want to read the report and check the data, you’ll find it here: “Findings Regarding the Market Events of 6 May 2010” Joint Report of CFTC & SEC, 30 Sept 2010 (data taken from table on Page 29).
Good luck with your Emini trading.