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RE: [RT] Bid/Ask sizes

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They follow a fairly predictable pattern which is best seen on a Time & Sales that shows the movement in the B/A as well. The bid/ask will be at fairly normal levels, say at around 1000 contracts or less. All of a sudden the best bid will be at around 3000+ contracts and the ask at say 500+. It'll stay like this for several seconds, maybe even a minute. Suddenly the bids will disappear in round lots of 500 or 1000 and you KNOW what's coming next. That's when the flurry of activity takes place, and it's from the sell side as the remaining bids get hit and the bid/ask moves down a tick. This typically all happens within a second or less, so there's no time to react once it starts.
 
I think that electronic trading and nanosecond response times have given rise to a whole new generation of trading strategies, and this may well be one of them. Only the very largest traders will know for sure, those able to place orders of 1000+.
 
Andrew
 
-----Original Message-----
From: realtraders@xxxxxxxxxxxxxxx [mailto:realtraders@xxxxxxxxxxxxxxx]On Behalf Of Dan Goncharoff
Sent: June 30, 2005 10:21 AM
To: realtraders@xxxxxxxxxxxxxxx
Subject: Re: [RT] Bid/Ask sizes

Since you say you see a flurry of activity, why do you say these large orders never get filled?

Regards
DanG

Andrew Nopper wrote:
Thanks for the gratuitous trading advice, but we're really only trying to understand where these huge bids/asks come from and why they disappear as quickly as they appear.
 
These aren't "wanna be" traders that have bids or offers away from the market. Wanna be's don't have the resources or margin to place orders of 1000 contracts or more and these bids/offers aren't "away from the market", they're right at the market.
 
My trade entry software constantly shows me the depth of market and I see what I see. Spend all day watching the depth of market and then try to explain these huge bids/asks that never get filled.
 
Andrew

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