Using proprietary account-level transaction data in the futures market where day traders are self-declared ex ante , this study investigates whether day traders enhance price discovery at the market level. From a natural classification of day traders, we find that heterogeneous day traders have differential effects on price discovery. Self-declared day traders, who benefit from low margin requirement, do not improve price discovery measured by information share. In contrast, non-declared traders, who are not self-declared as day traders, improve price discovery. Their positive impacts on price discovery are particularly significant during periods of high volatility and arrival of new information. Overall, a margin stimulating policy may encourage more day trading, but may also attract overconfident investors, especially inexperienced ones, and who do not enhance price discovery. • We present a futures market setting where day traders are self-declared ex ante. • We examine whether day traders can enhance price discovery at the market level. • Self-declared day traders do not improve price discovery (information share). • Non-declared day traders improve price discovery (information share). • Day traders’ price discovery is enhanced with high volatility and new information.