|Trade-size clustering means trade sizes tend to occur on multiples of 5 and 10 lots. This study finds that trade-size clustering is evident for three index futures contracts traded on TAIFEX. The main findings for determinants of trade-size clustering are as following: Firstly, rounded size trades are more likely to occur for medium-size orders, the period surrounding opening, and previous trades are rounded size trades. Additionally, rounded size trades, especially medium-size rounded trades, have higher price impact than unrounded size trades. The above phenomenon is more significant during the release of financial reports and the opening period on TAIFEX, showing that informed traders fragment their trades into medium-size rounded trades to disguise their activities and protect their information advantage. Secondly, a trade is more likely to be rounded in size when the price is low and trade size exceeds the best quoted depth. It means that traders with desire to have trades executed quickly tend to use rounded trades. Thirdly, rounded trades decrease as futures contracts approach expiration, perhaps caused by offsetting and rolling trades. Finally, rounded size trades tend to increase with investors' sentiment turning to optimism. The potential explanation is that more individuals trade when their sentiment is high.