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Here
are two screen shots from September of the T&S showing how the bids/asks are
retracted. The Sept 7th in particular shows the bid reducing in 3 consecutive
tranches of exactly 800, 1200 and 800 while the ask remains constant at 251.
No one lot traders in there! I kept these because I was going to complain
to the CME about the size of the orders, as the limit was 400 then I believe,
but never got around to it.
Andrew
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
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
YAHOO! GROUPS LINKS
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Attachment:
Sep 07.png
Description: PNG image
Attachment:
Sep 2.png
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