ES & The 80/20 Rule

T

tradertony76

I was looking at volume stats for the ES for yesterday 11/14/06.

During the 8:30-3:15 session, we traded about 1,104,928 contracts, and that volume came from 45,190 trades.

Of that, 39922 trades were 50 lots or less, with small trades making up 88% of the trades. Those trades, however, accounted for 21.83% of the total volume.

The large trades of 50 lots or more, while only being 11.66% of the total number of trades accounted for 78.17% of the total volume.

I dont really have a point to make from all this, other than I found the stats to be in interesting example of "The 80/20 Rule" being found in trading.
 
Thanks for sharing Tony. I'm presuming you don't have data breaking those lottages down further. I'd be curious if someone else viewing this thread can take it from 1 lot right on up. Granted one would need record a massive amount of data each day but I'd love to know.
Quote from tradertony76:

I was looking at volume stats for the ES for yesterday 11/14/06.

During the 8:30-3:15 session, we traded about 1,104,928 contracts, and that volume came from 45,190 trades.

Of that, 39922 trades were 50 lots or less, with small trades making up 88% of the trades. Those trades, however, accounted for 21.83% of the total volume.

The large trades of 50 lots or more, while only being 11.66% of the total number of trades accounted for 78.17% of the total volume.

I dont really have a point to make from all this, other than I found the stats to be in interesting example of "The 80/20 Rule" being found in trading.
More...
 
Well, since there seems to be interest, here is the 12/14 breakdown on 1-50 lot trades:

Whats interesting is that the numbers 5, 10, 25 stand out in the tails. Guess traders like multiples of 5s !

Bin Frequency Percentage
1 15649 39.15%
2 5676 14.20%
3 2333 5.84%
4 1807 4.52%
5 3162 7.91%
6 690 1.73%
7 528 1.32%
8 674 1.69%
9 366 0.92%
10 2255 5.64%
11 229 0.57%
12 312 0.78%
13 134 0.34%
14 178 0.45%
15 475 1.19%
16 192 0.48%
17 100 0.25%
18 161 0.40%
19 108 0.27%
20 1069 2.67%
21 74 0.19%
22 76 0.19%
23 65 0.16%
24 70 0.18%
25 843 2.11%
26 57 0.14%
27 46 0.12%
28 65 0.16%
29 51 0.13%
30 375 0.94%
31 55 0.14%
32 41 0.10%
33 35 0.09%
34 34 0.09%
35 66 0.17%
36 42 0.11%
37 34 0.09%
38 39 0.10%
39 26 0.07%
40 381 0.95%
41 34 0.09%
42 31 0.08%
43 32 0.08%
44 33 0.08%
45 66 0.17%
46 34 0.09%
47 27 0.07%
48 26 0.07%
49 31 0.08%
50 1084 2.71%
 
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