Ok so tell me if I got this right -say N=100K clients have on average 500K in balances in this financial institution (Q_1: so IG is a broker, presumably..?) and some fixed percentage of clients, call it Np_1 (assume p_1 <= 0.05), participate in this weekend game... like uh so what? Is some of this Np_1 population of IG's clients actually submitting trades in some sort of market simulation, or are they really submitting actual lmt, mkt, sl, etc. orders over the course of the weekend and these guys compose an index that composes friday's closes with the new orders and establishes a rough guide of what would happen if mkts were actually open? I mean, I guess I get it if that's the case, but... I mean that's a super rough estimate. Must be wrong most of the time. Just wondering if that's the idea.
How does it change through the course of the weekend? Is it truly reliant on people submitting orders over the course of the F-M interval? If so, then this assumption clearly has a huge retail bias, (since only retail investors are likely submitting orders over the weekend) and as a result, apparently fails to effectively capture the behavior of larger institutional mkt participants, nor does it factor in the principal investment behavior of larger-scale BB IBs.
Can you help me understand why dark pool behavior would even matter during off-hours here? I seriously doubt anyone working at a MM that offers some kind of dark pool to clients would be submitting manual orders over the course of a weekend... right..?
I feel like I must be missing something. I can't imagine more than 15% of investors, across the retail and (everyone else) investor community are actually submitting orders over the weekend but this is a total guess. And I would guess aggregate notional value for all of those trades would be less than 1%, if I were to guess, of the previous Friday's total gross trading volume
