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hold on before you start proclaiming ignorance... the COT reports is what i meant in my original post when i said "2) commercial interest" - i am looking for more specific information. "it will also tell you who the main organizations are in each category." - can you please provide a link...

naz, thx a lot for the comments - this is excellent info - this is along the lines of what i was looking for - i have found further details this here http://cbotdataexchange.if5.com/Data_LDB.aspx - my current focus is in on the development of intraday trading strategies and my interest in this...

ok makes sense thx for clarifying.

resinate - i assume that this ES volume is done as part of their hedging activity - i was wondering if you (or someone else) could clarify / confirm this, thx for the comments.

"volume sucky"? - i suggest you go back through the charts and study june for example.... - also as an example, take a look at the chart i posted on one of the real slower days back in March http://www.elitetrader.com/vb/showthread.php?s=&postid=703598#post703598 - i thought the last couple...

thx for the comment - it seems logical to me but not "obvious" at all, i.e. would be great to hear how you can estimate these percentages (unless it's the 80/20 rule... :) )

excellent catch indeed, it seems in my zealous quest for data, i had an incorrect formula - here's the revised table, seems more logical, the 50-500 blocks are the larger contributors - i am not happy to have posted the buggy stuff, but obviously happens sometimes, my practice is always to check...

take a look at this thread http://www.elitetrader.com/vb/showthread.php?s=&threadid=52972 i haven't been able to get any more detailed info than this - i have looked around the deutsche boerse website but could not find any further info on any additional market internals data that may be...

no, you don't need any connection via VBA and you don't need to change the format of your request - it should be = mydem123|acct!id2?symbol the only thing i can think about is that you have not requested the account control key first - i.e. in your blank worksheet, you must first type...

you are missing the point - i am not looking for a tick by tick account of who is doing what - i am trying to gain a better understanding of the overall structure of the market which i trade - i think that among all the discussions here on calling the next tops/bottoms etc. there is a dire lack...

yes thx this could help, however, i am also looking for some more tangible data.

ok i understand your point but i am not trying to dissect every tick to find out who it belongs to... - i am trying to get an overall picture of the participants via the data that is / may be already available - for example, one distinct category i was thinking of is the registered market makers...

when did you check with them last time? i just logged into their website and chatted with tech support - i was told they do not edit ticks - they confirmed that their ticks should match CME's own data.

from IQfeed's backfill - the total volume very closely matches cme's official reported volume from here: ftp://ftp.cme.com/pub/daily_volume/daily_volume_20050830.xls for the table, i have used the volume from 9:30EST to 16:15EST - i can not match cme's volume precisely because i use Ensign...

yesterday was a fairly heavy volume day, so i took the ES tick chart and looked at the distribution of the volume (the data table attached) - looks like almost 3/4 of the total volume is traded in 6-25-lot blocks - i understand that some of these may be parts of scaled, bigger orders/trades...

delete...had a problem with ZLT.

over the last 12 months i have had the same problem on several occasions - my DAX order book would start lagging, then stop completely for a while, then restart again - it seems to happen every few months, for a day or two with a couple of instances of this problem occuring usually during the...

interesting numbers here - i showed a pickup in volume around 11 too - for the 10am pickup, i guess an obvious guess would be a first hour breakout mechanical strategy - but i was more wondering about any possible non-market related reasons for the funds to trade around a particular time in the...

ok decided to look at the numbers rather than continue to fret about this - the attached chart shows the volume breakdown for each 15min bar for the European morning session (i arbitrarily defined it from the open to the 1300 CET) - interesting results - pretty much steady down from the open -...

hi Muppet - good comments - one thing i'd want look at a bit more to gauge activity is volume not just price - i am saying that there are attempts to breakout etc, it doesn't necessarily mean they succeed so the price may not change much in the end or it may even go the other way... - also, you...