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Rich,
Contrary to popular wisdom, I often daytrade thinly traded issues - say,
40,000 to 50,000 shares per day. What I consider to be a starnge
phenomenon occurs occasionally. I'll sell well above my ask price.
Here's an example:
- It was on or about Sept 15th that I had an order in to sell AWK at 22
1/8. At or near the open, I sold at 22 1/2 - a spike clearly visible on a
daily chart.
- This occurred a few days before a run-up from 22 to 24 started.
- During the run-up, vurtually ecah and every day, there was a "big trade"
of about 15,000 shares at the end of the day (perhaps after-hours) that
took the price upwards.
1.) Why did somebody buy above my ask? What mechanism allowed for this?
2.) What was going on during the run-up? (It stayed at 24 only a few days
and then started to come down to more normal levels.)
Been wondering, Bob.
On Mon, 27 Oct 1997 RDZig@xxxxxxx wrote:
> Yes, it is a regular occurance to buy or sell in the middle of the spread
> from customers, both institutional and retail. This occurs freqeuntly on
> securities that are exempt from dislpay rules.(securities in which you are
> working a block order, for example) In some situations it is positively true
> that customers sometimes buy on the bid and sell on the ask. If price
> improving is a violation of the rules (according to your theory) maybe you
> should brush up a bit on price discovery, price improvement, and order
> handling. Again, I reiterate, it is possible for customers, regardless of
> their size to be eligilbe for price improvement. There is no bias from one
> customer to another - it is my job as a market maker to find the best price
> (sometimes it may be on Instinet and not displayed because it's an
> institutional order) and fill that customer at the better price, hence, which
> is in the middle of the spread. If you would like to discuss this further,
> please e-mail me at rdzig@xxxxxxx and we can further discuss this without
> hostility, like gentleman - like the RT forum is supposed to be.
>
> Regards
> Rich Z.
>
==================================================================
Bob Dombrowski, Buffalo, NY
ah149@xxxxxxxxxxxxxxxxxxx
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