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I also want to address something stated in an earlier post. You posted the average size per transaction as proof that it's ridiculous that such a large order could be filled. The problem is that this statistic is showing you the orders before they are reconstructed. A trader could use a large 250 lot to clear a price, but the CME reports it back as the hundreds of limit orders that were filled. The jigsaw reconstructed tape I believe uses the timestamps to reconstruct the actual trade size.
So what we see in the video is a trader using multiple large market orders to clear a price. You then see hundreds of smaller orders immediately hit the market. This is the stop run. None of this has anything to do with block trades which are not very common in the treasury markets as far as the tools I have available show.
Regarding vacuum effect, you have to have software where you can view the actual orders to see it. I have seen it in the ES but only overnight or when liquidity is lower. The effect at least very clearly looks like a manipulation. An example of the vacuum is you get strong selling at new lows and then the orders are pulled above the market very fast. The key to a vacuum is that either no orders or very few orders transact-- hence the trap. An explanation is that a large liquidity provider, took the other side of the trade and simply pulls the resting orders above the market to trigger the aggressive sellers stop orders. The pattern is aggressive selling at new lows, resting orders pulled above, and few/no transactions. Vacuum effect is not going to be more then a say a few to several ticks but can mark swing lows or highs.
It happens too fast generally to take advantage of it from a discretionary phase. However, the signaling is typically a large order book imbalance. So the conditions would be 1. A lower liquidity market, 2. Aggressive selling at lows, 3. A large buy side imbalance shows, 4. Orders above the sellers are pulled and either only a few contracts trade or no contracts trade. For it to be a true vacuum, I think you need #4 or else it could just be explained by the order book imbalance. I have seen it in the ES in the overnights. I do not think it is likely to occur during RTH.
I'm not sure I'd consider it a stop run. Maybe a trap but sure it could be a form of stop run but not the classical high volume stop run. I think the key to measuring a stop run is to see how fast the orders hit the level. If they are using stop orders then after you get a single trade then all the stop orders should trigger unless they are using volume trigger stops or other advanced order types. If the buying/selling comes in later then it wasn't a stop order. If you track the number of orders that hit a level first then you can get an idea of the maximum number of stops held at a level. If only a few orders hit a level and nothing triggers then you know the market is trading very efficiently because there aren't any retail traders. Most of the activity now is professional.
I'm interested in CL so I went to the CME Block Trades webpage and searched for the CLV17 trades for yesterday 9/12/17 and copied the list into excel and did a little statistical analysis. There were 28 trades yesterday with a total volume of 11,422 contracts. Average volume = 407.9, Stdev = 413.9, Median = 275. There were 4 trades of at least 1000 contracts. Total volume, from my daily chart (data provided by CQG) for 9/12/17 was 498,903 contracts. The first block trade occurred at 0715 CT and the last occurred at 1412 CT. The source for all the trades was listed as "CPC" which, I'll wager, means ClearPort. So if my figures are correct, block trading was about 2.3% of all "transparent" trading.
One of the reasons I came to the futures market was because I thought there was greater transparency and the absence of dark pools, as well as better directional volume information; but I must admit my increased awareness of block trading and clearport has somewhat diminished my enthusiasm for CME products.
That’s really interesting, thanks for sharing.
2.3% is negligible especially considering that block trades are matched with corresponding orders and have absolutely no influence on the movement of price (as far as I understand). I suppose you wouldn’t get an accurate volume profile because those large trades would not show on your charts but the information wouldn't help you anyway.
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.
I.e.: With 11k contracts you can blow off the entire bid or ask about 10 times a day if
you target the small change. Or "sweep it" as they gently call it ...
Thanks for this information. I spent a lot of time trying to find out if those orders even show up in the CQG feed, but found no information on it online.