Recent content by sixtyseven

Thanks for that RPEX, it gave me some good leads to look into. Does anyone have any recommendations of books, or links to learn more about the processing of OTC, block trades, iceberg orders etc. I've only been able to find basic descriptions of what they are, rather than the mechanics of how...

I have tick data that I want to do various things with - but it has what could be 'weird' prints. Can someone who uses FTSE futures volume data please comment. The tick data I have (disktrading99) has majority of trades with a volume <= 10 (approx. 95%), but every so often there are clusters of...