How are trades in ISE/GEMX aggregated into a volume bucket?
In contrast to PHOTO/NOTO, ISE and GEMX trade and volume buckets are both determined using the number of trades on a post-aggregate basis. The total aggregate volume does not play a role in volume bucket size determination. For example, using the same trades from the above question, the trades would be bucketed as follows:
Trade Count = 2 --> COB_SM_TRD (based on # of total trades so far)
Trade Volume = 150 --> COB_SM_TRD (based on # of total trades so far)