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Search: Posts Made By: choke35
Forum: Platforms and Indicators September 17th, 2017, 10:26 AM
Replies: 69
Views: 17,988
Posted By choke35
Right. But unfortunately, most brokers make their...

Right. But unfortunately, most brokers make their retail customers sign clauses in the fine print that allow many
sketchy varieties (like e.g. internalising orders or routing the order flow to...
Forum: Platforms and Indicators September 13th, 2017, 04:31 PM
Replies: 69
Views: 17,988
Posted By choke35
Nope. If a broker is responsible for buying...

Nope.

If a broker is responsible for buying or selling a certain amount of contracts for account of
a third party, that isn't a wash trade.

The customer, e.g. a fund, couldn't buy/sell the...
Forum: Platforms and Indicators September 13th, 2017, 03:03 PM
Replies: 69
Views: 17,988
Posted By choke35
Grantx rassi 's example is the bread and...

Grantx

rassi 's example is the bread and butter of many HFT businesses that trade for own account.
My example ( b) ) is the bread and butter of many brokers with institutional customers or other...
Forum: Platforms and Indicators September 13th, 2017, 02:32 PM
Replies: 69
Views: 17,988
Posted By choke35
The only trades without any impact are - by...

The only trades without any impact are - by definition - noise trades.

a) With e.g. an average of ~2 contracts per trade in CL...
Forum: Platforms and Indicators September 13th, 2017, 01:06 PM
Replies: 69
Views: 17,988
Posted By choke35
That's a wrong conclusion. 2.3% of daily...

That's a wrong conclusion.

2.3% of daily volume doesn't reflect the influence of these orders by any means.

At the moment CL is trading at a market depth of 1000-1200 contracts on either side....
Forum: Platforms and Indicators September 7th, 2017, 01:29 PM
Replies: 69
Views: 17,988
Posted By choke35
Just one example where block trades clear into...

Just one example where block trades clear into the ES via Clearport or alternatively via CME Direct -
both times with the well-known report window:
...
Forum: Platforms and Indicators September 7th, 2017, 12:56 PM
Replies: 69
Views: 17,988
Posted By choke35
I give it up. Why do you think a Clearport...

I give it up.

Why do you think a Clearport venue exists for the ES?
Just to have a permanent fallback or treat large trades like retail?

https://nexusfi.com/attachment.php?attachmentid=241112
Forum: Platforms and Indicators September 7th, 2017, 12:27 PM
Replies: 69
Views: 17,988
Posted By choke35
For equity futures you will find about 0 trades...

For equity futures you will find about 0 trades all the time if you choose that way since virtually all other
Clearport trades use correct rulebook flags so that they can be matched with the order...
Forum: Platforms and Indicators September 7th, 2017, 11:59 AM
Replies: 69
Views: 17,988
Posted By choke35
Just to give an impression of the magnitude of...

Just to give an impression of the magnitude of potential dicrepancies that are caused by Clearport trades:

For the E-minies and CL the minimum threshold is 50 contracts, the reporting window is 5...
Forum: Platforms and Indicators September 7th, 2017, 09:39 AM
Replies: 69
Views: 17,988
Posted By choke35
CME regarding block trades: "Ability to execute a...

CME regarding block trades: "Ability to execute a large transaction at a fair and reasonable single price."
You have a single transaction that's more than 75 times the average trade size.

When I...
Forum: Platforms and Indicators September 7th, 2017, 09:27 AM
Replies: 69
Views: 17,988
Posted By choke35
In many regards futures markets have evolved in a...

In many regards futures markets have evolved in a similar style like stock markets some years before under the
impression of HFT. In the main market, the majority of trades is 1 contract in the...
Forum: Platforms and Indicators September 7th, 2017, 08:50 AM
Replies: 69
Views: 17,988
Posted By choke35
I suggest you invest some time reading the CME...

I suggest you invest some time reading the CME block trade rules - and esp the rules regarding trade disclosure.
In the end you will find that you have 2 components in your reconstructed tape: a) A...
Forum: Platforms and Indicators September 7th, 2017, 08:39 AM
Replies: 69
Views: 17,988
Posted By choke35
You got it: You saw a reconstruction. At the time...

You got it: You saw a reconstruction. At the time when you trade as a retail trader or more precise: when the trade
was closed you wouldn't have seen anything (unless they wanted you to see it).
Forum: Platforms and Indicators September 7th, 2017, 08:25 AM
Replies: 69
Views: 17,988
Posted By choke35
Yes, the numbers show the volume traded per sec...

Yes, the numbers show the volume traded per sec and the average trade size during this time bracket.


Some clues regarding a) and b):

ad a)
The small stuff adds up. But in contrast to ancient...
Forum: Platforms and Indicators September 7th, 2017, 07:39 AM
Replies: 69
Views: 17,988
Posted By choke35
Same numbers for the CL: ...

Same numbers for the CL:

https://nexusfi.com/attachment.php?attachmentid=241085

I.e.: In order to get 10000 contracts via CME/Globex, one would have an average expectation of
more than 5000...
Forum: Platforms and Indicators September 6th, 2017, 07:08 PM
Replies: 69
Views: 17,988
Posted By choke35
If you take a look at today's ZB numbers you can...

If you take a look at today's ZB numbers you can easily see that the assumption that anyone would get
a 500 contracts fill at CME/Globex at the moment is pure nonsense.
...
Forum: Platforms and Indicators September 6th, 2017, 02:52 PM
Replies: 69
Views: 17,988
Posted By choke35
Absolutely true. With an average number of ...

Absolutely true.

With an average number of

ES: ~3.x
NQ: ~1.x
FDAX: ~1.x
etc.

contracts per trade during the main hours at the moment, most "stop runs" are simply
Showing results 1 to 17 of 17

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