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John,
I have some reservations about the accuracy of the quotes you are seeing.
QQQ trades a 65 day average volume of 51.7M shares per day. (Today was
48.269M). The greatest single day volume in its history was 118.239M shares
on Jan 3 of this year. Looking at yesterday's trades on a 1 minute basis,
the largest volume for a 1 minute period occured at 15:48 for a total of
1.267M shares. In the opening minute, 948K shares traded. For comparison,
the first and second largest one day volumes for NASDAQ stocks was INTC @
308M shares and just yesterday CSCO @ 281.6M shares.
I've heard that yesterday, S&P Comstock was having feed difficulties, and
many data providers source their real time data from that vendor. This may
have been the cause for what you are seeing. Could it be reporting a
cumulative daily trades number by mistake?
The QQQ trades on the AMEX. It is managed by a specialist that holds the
book and matches the trades. It also trades on ECNs now as well. You can
pull up the island book (www.island.com) during the trading day to see the
activity, just for comparison. As another basis for comparison, try the
Quote.com Live Charts feature. It will show a chart of QQQ with T&S right
beside it.
I don't believe this would appear on a Level 2 screen as that is for NASDAQ
traded securities. It would appear on a sort of Regional Montage that might
be offered by your data provider. This would show data similar to the L2
screen but would be significantly different in that it would show the best
bid and ask by exchange rather than by Market Makers. At any rate, the bid
and offer and market depth is the information to be gleaned from there.
Time & Sales is normally the best place to see these big blocks go off, and
it's the history that you'd check to see the trades. You may be able to
call the exchange if the T&S you are looking at has a code or some number
associated with it. Generally, many traders want to follow the AXE, or the
big player, in any given stock. Knowing this, many participants seek
anonymity and split their trades on ECNs and hide their activity.
Having said all of that, the QQQs are heavily traded by arbitrageurs (arbs)
and institutions. As you suggest, there are some very big players trading
this security. Yes, they are swinging a big bat, but it's probably more in
the couple of hundred thousand share range.
So, if these trades are taking place, they would be getting "crossed"
privately, not on a public exchange, not based on the volume numbers that
the exchange reports.
Dave Nadeau
Fort Collins, CO
-----Original Message-----
From: owner-metastock@xxxxxxxxxxxxx [mailto:owner-metastock@xxxxxxxxxxxxx]On
Behalf Of jhmtn
Sent: Thursday, February 08, 2001 2:24 PM
To: _Metastock List Server
Subject: QQQ Questions (Not Metastock)
Hi all,
I have some QQQ questions for the group. All day yesterday I watched trades
on my real-time provider (North American Quaotations) Time & Sales sheet
show prints for extremely large trades. For example a print at 12:15 (EST)
for 26,214,900 @ 59.61, then the offset print balanced at 12:16 @ 59.63. If
that was a real trade, then that 2 cents profit bought someone 524,298.oo
before trade costs -- neat I thought.
Then I watched those trades off an on all day. I looked over the trade
history and saw an escallating pattern of shares traded at a print (rounded
figures used with M=millions): 6M, 13M, 26M, 32M, 39M, 45M, 52M, 58M, etc.,
all with offsetting and or multiple prints at a same shares traded number.
Today, the pattern repeated in share volume of 19M the 39M. I figured that
these trades were being executed by some major banking or mutual fund or
insurance company trading desk at first. But when I saw prints within the
ame minute or a one or two minute print, I finanlly came to the conclusion
that these trades had to be placed by the floor specialist and market maker
in QQQ.
QUESTION # 1: Were the trades placed by the MM specialist? I don't get
Level-2 quotes so I can't check that way. (And other than Level-2 how whould
you find out who executed the trades?)
Then today, this humongous print comes through at 381,798,912 shares traded!
I called the data vendor and they confirmed it was a valid print. (See
attached gif.) Another oddball thing about this trade was that at the lower
large trade volume prints there was always a print at 0 shares immediately
before the large trade print. With this monster, the 0 print followed.
QUESTON # 2: I undestand the float shares of a company issued stock but are
there float shares for a tracking stock? (And if so, where would you find
the info?)
QUESTON # 3: What is the print with 0 volume about?
QUESTON # 4: Could these trades be the result of a computer program
executing them?
Inquiring minds wnat to know! (LOL !!!)
Thanxs !!! .............. John
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