YM Volume vs. # of participants

T

Ticked

Forgive the newbie question/observation but...

How many contracts on average are most YM traders here doing in one day?

The reason I ask is that I recently started trading the YM and have been averaging about 10 round turns with 5 contracts per trade. That's 100 contracts total.

Based on the volume total from the CBOT site, it seems like, if my total is average, there must be less than 1000 people trading the YM. That's like this site and the Puretick room. I know that's an exaggeration but it doesn't make sense to me. I don't feel that I'm, overtrading so I don't see how there could be so few participants.

Thoughts for a newbie?
 
If you do 5 lots x 10 turns a day your traded volume is 100 lots but so is someone else's so based on 100k total vol. per day you can double your estimate to 2000 people. (I think).

Assuming my data is correct, based on volume / number of trades per 1 min bar the average size is about 3.5 lots per trader.

Of course this will be composed of plentiful 1s, 2s and 3s, fewer 4s-10s, fewer still 10s-20s, a smattering of 40s, 50s, 60s etc.


But if we say the average trader does 3.5 lots and does, say, 5 turns a day we get around 5700 people based on 100k vol per day. This sounds reasonable.

A distribution graph of trade frequency vs lot size would be interesting.

There are certainly a shedload of people trading 1 lots - have a look at time and sales for an hour or two. This fact may increase the estimate considerably.
 
Thanks for the reply and the calculations, Frugi.

You're right, there are a lot of one lots, so your numbers make more sense. 5000+/- sounds more reasonable. Still surprises me , though, that more people aren't trading the YM. "Everybody" trades stocks and I just thought that there would be more participants. Since I made the switch to futures, I can't imagine going back to stocks.
 
it pays to keep in mind that in the futes - about 85-90% of the volume (total contracts is traded) is transacted by less than 10 % of the participants.
 
Quote from whitster:

it pays to keep in mind that in the futes - about 85-90% of the volume (total contracts is traded) is transacted by less than 10 % of the participants.
More...

please explain
 
Quote from feb2865:

please explain
More...

it pays to keep in mind that in the futes - about 10-15% of the volume
(total contracts is traded) is transacted by more than 90 % of the participants...:p
 
It would be interesting to know the approximate number of participants. I have no idea what the number is but I'm guessing it's larger than any number mentioned so far. There seems to be an assumption that every participant day trades only. As of the close Thursday open interest on the June YM was 132,240 contracts. So there are plenty of participants that hold overnight and some that presumably hold positions for days or weeks and don't necessarily trade every day. Given the huge range of traders ranging from institutions to retail amateurs with positions measured in thousands to one lots and position holding periods ranging from minutes to months it seems to me it would very difficult to come up with an accurate number.

It's still an interesting question though.
 
Good point TL. You're right, I did make that assumption and didn't consider the overnights. Before I moved to futures, I had no reason to consider # of participants. But when I moved from 1 to 2 to 5 contracts in short order, I started to wonder, even though I'm comfortable with 5, did I move too far too fast? Guess I was fishing to see if I'm "of average size". :p

Since I haven't been trading the Eminis since their inception, I don't have the experience of knowing how thin it was in the beginning. The YM volume might be huge now for all I know.

Another point to consider is, of the # of total participants [still drastically lower than equity trading], how many of those are automated?

T.
 
Good questions; however, how will knowing the answer to this question affect your trading. Ask yourself the most important question, what time frame do the big lots trade on? Do you care what time frame the 1 lots trade on? What does the size you see represent if orders are fragmented?
 
Quote from Ticked:

Still surprises me , though, that more people aren't trading the YM.
More...

What's so special about the YM? The ES and NQ are far superior in my opinion and that appears to be backed up based on the amount of volume traded on these markets vs the YM.

I don't get the fascination with the YM at all. I guess if you are afraid of losing, then $5/tick looks like a bargain. But if/when the time comes that you need to trade some good size, the YM will not work. As you've seen, any large orders on the YM stick out like a sore thumb. Try trading a 20, 30, 50+ lot and see how that works out on the YM. Drop the same number on the ES or NQ and you'll see little, if any, slippage. If you are trying to fly under the radar and not have your order scream off the screen, this is important.
 
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