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Market Profile Rotation Factors


Only a very few trades over 50 contracts in size in any one day in the ER2 contract.

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ER2 Time & Sales filtered 50 contracts and bigger for entire day.
Same day T&S but for the ES contract with filter at 400 contracts.

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T&S for ES with 400 contract filter.
Progression of rotation factors through the day for ER2, NQ and ES

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Market Profile Rotation Factors (split counts) for AB, ES and NQ for 22 Feb 05