Apr

23

Some interesting stats from Easley, D., M. Lopez de Prado and M. O. Hara (2012b): Bulk Volume Classification, Working paper about E-mini trade sizes:


Most of the[..] trades are small, averaging 4.50 contracts per reported fill. Figure 1 plots the frequency of trades per trade size. […not shown…] The frequency line quickly decays as a function of the trade size, with the exception of round trade sizes (5, 10, 20, 25, 50, 100, 200, etc.).

That round trade sizes are much more common than their neighbors may be attributed to so-called ‘mouse’ or ‘GUI’ traders, i.e. human traders that send orders by clicking buttons on a GUI (Graphical User Interface). As an interesting aside, this footprint of ‘GUI traders’ could be used by machines to learn the patterns of their human competitors, and eventually anticipate them to the advantage of the ‘silicon traders’. For example, size 10 is 2.9 times more frequent than size 9. Size 50 is 10.86 times more likely than size 49. Size 100 is 16.78 times more frequent than size 99. Size 200 is 27.18 times more likely than size 199. Size 250 is 32.5 times more frequent than size 249, and size 500 is 57.06 times more frequent than size 499. Such patterns are not typical of ‘silicon traders’ who usually randomize trades to disguise their footprint in markets.


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