I am done with Futures... going back to Forex

schweiz said:
Wrong, it should be around 50-55% only. Average size should be 3-5 contracts. Depends of which day you take. Check time and sales.



Oh, you are a real professional full time (food) trader! ROFLMAO.
More...
it is not 50 -55% should shouldn't be used in trading..why don't you do the break down and post the distribution for us all to see.. would only take you a few minutes..SHOULD only take a few minutes
 
REDP1800 said:
it is not 50 -55% should shouldn't be used in trading..why don't you do the break down and post the distribution for us all to see.. would only take you a few minutes..SHOULD only take a few minutes
More...

I took time and sales of CME, but I had to copy and paste 4547 pages!!!
So I took about 10,000 sales to get my stats.

In the meantime I found 800,000 trades at IQFEED from today that I could download representing 3.5 hours of trading.
Result is 807,997 trades. Contracts traded is 1,465,324. So average per trade is 1.81 contracts.
1 contract trades represent only 40.1% of total volume traded.
1 or 2 contracts represent 55% of volume.

2018-12-19 23_33_11-Microsoft Excel - TS.jpg
 
schweiz said:
I took time and sales of CME, but I had to copy and paste 4547 pages!!!
So I took about 10,000 sales to get my stats.

In the meantime I found 800,000 trades at IQFEED from today that I could download representing 3.5 hours of trading.
Result is 807,997 trades. Contracts traded is 1,465,324. So average per trade is 1.81 contracts.
1 contract trades represent only 40.1% of total volume traded.
1 or 2 contracts represent 55% of volume.

View attachment 195964
More...
let me see what I get with a full days data.. and today was a very busy fed day so I am not sure you can really just go by todays data.. however since you cannot trade less tahn 1.. the average will have to be above 1. I will downlaod the data from today and see what i come up with also 9:30 am to 4 pm
 
REDP1800 said:
let me see what I get with a full days data.. and today was a very busy fed day so I am not sure you can really just go by todays data.. however since you cannot trade less tahn 1.. the average will have to be above 1. I will downlaod the data from today and see what i come up with also 9:30 am to 4 pm
More...
either way it is pretty safe to say that one lots are INCLUDED IN THE DATA ND MOVE PRICE.. have an impact to the tune of 40% using your numbers.
was your data combined volume because that can make a difference..
 
REDP1800 said:
let me see what I get with a full days data.. and today was a very busy fed day so I am not sure you can really just go by todays data.. however since you cannot trade less tahn 1.. the average will have to be above 1. I will downlaod the data from today and see what i come up with also 9:30 am to 4 pm
More...

I could not get more data from IQFEED.
Mentioned in the header: size * number of trades= volume for that size.
You cannot just take the number of trades.
 
710,000 1 lots
178,000 ytades 2 lots=357,802 volume

316 trades were 90 lotsw and above for 45,999 lots with a high of 500 lots in 1 trade
anyway I hae better things to do.. 1 lots move markets no matter how you slice it. the are the most prevalent trade qty so that would mean they most likely cause most of the price movement. done with this. but nice stats
 
schweiz said:
1.94 is close to what I found.
More...
your data is very suspect you even said you didn't have a full data set .. what is your end goal here?to try and say that 1 lots do not imapct the market?????????? you proved yourself wrong
 
You must log in or register to reply here.
Back
Top