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My guess, from this limited view, is that the "big boys" are providing
two-way quotes at a wider spread than one tick, in size. As the market
moves in one direction, the two-way quote moves 'away' from the market.
It is visible to you only on one side because the other side is not
visible when you can just see BBO. You would need market depth to see
this.
Regards
DanG
Andrew Nopper wrote:
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
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