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Looking at futures data I am trying to calculate/estimate the number of "day trades", i.e. positions that were initiated and closed during the same day, as distinct from those positions that were initiated and held for one (overnight) or more days.

I'm not sure this is possible but my instinct is that this can be done using some combination of volume and open interest with the addition of some external data (e.g. COT reports) to represent longer term positions. However, I feel like there must be an accepted model for figuring this out (or there's other data I don't know about somewhere).

To be 100% clear I'm not looking to simply model intraday volume for a VWAP strategy or something along those lines. I'm just looking to see if I can drop out day trades (or an estimate) from the overall trading volume.

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  • $\begingroup$ I'm not sure if this is possible as you would need to know who placed the trades and from what I know this data is kept under heavy lock and key by the exchanges.... $\endgroup$ – Kyle Balkissoon Jan 3 '15 at 23:18
  • $\begingroup$ Sure, to get an exact number you'd have to know how to net the trades. But is there no way to estimate based on daily changes in open interest/volume? $\endgroup$ – Rarw Jan 5 '15 at 14:51
  • $\begingroup$ I just don't see there being a plausible way to match position to position, as even defining a trade is non-trivial (e.g. flat to flat?). Some prime brokers have day trader reports for equities, you might have some luck seeing if they do that for futures.... $\endgroup$ – Kyle Balkissoon Jan 5 '15 at 16:17

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