| The first chart below shows the price of the eMini futures contract (ES.M10) along with cumulative (sum) up and down tick contract volume beginning at 14:32 on a one second interval. The second chart shows the up (green) and down (red) tick contract volume plotted seperately. |
From page 14 of the SEC Report:
This large Fundamental Seller chose to execute this sell program via an automated execution algorithm (“Sell Algorithm”) that was programmed to feed orders into the June 2010 E-Mini market to target an execution rate set to 9% of the trading volume calculated over the previous minute, but without regard to price or time.
The two charts below shows the price of the eMini ES.M10 future and the contract volume at one-second intervals. The contract volume is split into two components: 91% (black) and 9% (light blue) illustrating the relationship between the Sell Algorithm trading volume and the rest of the market. Since we do not have access to individual trade reports made by the Sell Algorithm, we can only show a simple percentage per interval. It may be possible with some effort, to estimate more accurate values. Nonetheless, the purpose of these charts, is to bring perspective of the size of Sell Algorithm's trading volume.
|
|
|
|
|
| |
Inquiries: pr@nanex.net
http://www.nanex.net
| This report and all material shown on this
website is published by Nanex, LLC and may not be reproduced, disseminated, or
distributed, in part or in whole, by any means, outside of the recipient's
organization without express written authorization from Nanex. It is a
violation of federal copyright law to reproduce all or part of this publication
or its contents by any means. This material does not constitute a solicitation
for the purchase or sale of any securities or investments. The opinions
expressed herein are based on publicly available information and are considered
reliable. However, Nanex makes NO WARRANTIES OR REPRESENTATIONS OF ANY SORT
with respect to this report. Any person using this material does so solely at
their own risk and Nanex and/or its employees shall be under no liability
whatsoever in any respect thereof. |
|
|
|
