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...fragmentation - data reporting
The SFE reports trades as component parts. Where 20 lots of 1 are in the queue, and a commercial trader hits them in a single trade, the SFE system reports 20 separate trades of 1 lot each. Where 1 lot of 20 is in the queue and 20x1 lot sellers hit simultaneously, the SFE system reports 20 separate trades of 1 lot each. In essence the SFE sells kitset furniture in kitset form. It needs to be assembled to be useful.
(http://www.camron.com.au/section5.htm)We have examined data feeds from the exchange transmitting the dow mini, russel mini and S&P500 e-mini.
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