A question about the actions of Large Players

[Pascal]

Paul,


There is a large block filtration algo inside of the method. It is not explained in the VIT book, but since a large block that does not impact the price is probably an "arranged" trade (for example between the MM and his customer), you want to filter this out, otherwise this sort of transaction "pollutes" the EV pattern. The filtration algo is to filter out the minutes whose traded volume is higher than 5% of the daily volume, but which does not impact the price by more than 1%.