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Most data feed providers are stacking ticks in order to save bandwith.
Even CME itself (I believe CME only recently decided not to stck ticks any more)
Volume is very very important, but all these "volume splitters" does not make a sense at all.
You might see a "block of 100 es contracts at ask price" and think: oh well... someone
"big and smart" is buying and I am going to be a smart boy and go with the flow.
And there is a huge possibility, that 100 contracts at ask price were nothing else, but 100 trades (stacked by CME) made by "small dumb" traders and you are joining the "dumb crowd"
the fine black line in panel 2 are trades bigger than 100 contracts. as you can see one could say it's helpful. I'm not using it to see if there's a big buyer or seller. I like it to identify if there's program buying or selling. that's what makes the market move fast in a short time. I'm looking for something better, but not there yet.
My apologies - I did not mean to offend anyone.
My point is strictly that "large blocks" absolutely does not mean a SINGLE trade
It only tells you, that there is a pressure.
Your fine black line in panel 2 ABSOLUTELY does not mean "trades bigger than 100 contracts",
it only means that volume was 100 contracts or more from trades which occured at the same price and were at bid or at ask consequently within predetermined period of time.
It could be 100 single contract trades, or 1 trade of 100 contracts or 4 trades 25 contracts each.
In any case it shows buying or selling pressure and your indicator "predicted" the upmove.
On my chart sometimes Moving Averages crossover predicts that too.:yield:
cme does not bundle trades together. on my chart those are "trades bigger than 100 contracts". checked it with time and sales. if it would be the way you say, it would be a much bigger value.
As of October 2, CME does bundle trades together. What roonius says is true. It is not possible to know if it was one trader or several. All we can know is x number of shares were traded at a specific price (bid or ask). That's it. But I think it's enough to be useful.