Improved preservation of order flow history from the automation of derivative trading platforms suggests that traders are potentially learning from the recent history of both order and trade parameters. Consequently, a model to measure price discovery should encapsulate the dynamic interaction between the price-size coordinates of orders and trades. The Hasbrouck (1991) model is extended to measure the summary informativeness of order size and trade size. The two models are used to test for price discovery improvements in the FTSE 100 index futures market from order flow consolidation post deletion of its E-mini counterpart. The informativeness of trades has declined sharply, while the informativeness of orders has risen significantly in the post deletion sample.
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