Originally posted by lescor
Sure, it's called enveloping, and I do it all day. It's hard to do with more than 2 or 3 stocks, because you are always adjusting bids/offers. I just sit x cents below the bid/ above the offer. When he moves the bid/offer up or down a couple pennies, I cange my order by the same amount. If he needs to sweep the book to get the shares he needs to do a big print, and your order is in between the last trade and the block price, you get the price of that trade- price improvement. I'm always changing my prices because I only want to be filled on a gap. If the price keeps going beyond where I got filled, I immediately stop out. This works good on slow, choppy days when there's not much momentum. I don't put my prices in new high/new low territory. It can be boring, you can sit there all day and only get filled a handfull of times. It depends on the stock and how it's trading that day how far out to place your orders. I've seen it done with IBM 15 cents out and the stock I trade, I go 8 or 9. I'd say 80-90% of the time, the price retraces most of the way.
Don call these moves 'trade throughs'. If you have a filter to catch the big ones, you could just jump in and try to catch some of the move back. I was short HIG one time and the guy popped the stock up 75 cents in one print, almost stopped my heart. But I bought more bullets and hit him and did pretty well on the trade.
Corey
