CL Redux
- Thread starter schizo
- Start date
Speaking of multiple contracts, can EON, Schiz, SK, Star and you other heavy hitters share with me whether the way multiple lots get filled has any bearing on price reaction. Yesterday, my entry was with a limit order and 1 contract filled at limit and the other 4 filled 1 tick better than my limit order. The price move was very shallow (20 ticks exactly from my entry). Today my order was filled at limit all at once (a single 5-lot) and price seemed to have a stronger retrace. I'm guessing this pertains to "tape reading", being able to find a relationship between how the fills happen and what price does next. Or am I trying to see the Virgin Mary in a tortilla again?
Quote from EON Kid:
a 5 lot is still small in the scheme of things. Yesterday maybe, what was the time and price? Today you entered at one of the highest liquidity points so 5 lots was nothing - maybe it was the butterfly effect
Yesterday, 1:14pm ET - four sold @ 82.86, one @ 82.85, off an 82.85 limit order.
It was definitely more liquid near that high today, plus earlier in the day than yesterday's trade. I saw one print over 100 on my DOM and another around 40 on the way up.
On the way down today I saw multiple levels on the bid at 150+ and even thought I saw 200+ at times. I pay very little attention... Until I have an offer of 1 at 83.10 and it can't take it out? That's when I pay attention!
Nod, you mentioned heavy hitters, so I had to chime in
Were you waiting in the queue or hitting/lifting? (a) crossed market orders; (b) queue removed/filled before your order made it through to the exchange so you're actually hitting the bid-1 (or lifting ask+1).
You have no way to know how the orders for multiple cars in the queue are filled, only market orders and hitters/lifters (i.e. a 50 lot in the bid that is filled will not show up as "50", but as "1, 2, 5, 1, 1, 1, 10, 1, 1, 1, 20... or whatever they're hitting it with); problem is if your chart platform's feed is IB's those prints are misleading (they've been aggregated by x milliseconds so 1, 1, 2, 1, 5 becomes "10"), so you'd have to check the T&S (that is fed by the exchange). Similar problem with IB's aggregated volume (also with duplicated prints, etc.). You can sign up for a sim account in Think Or Swim or some other broker and see their DOM's T&S panels side by side.
If you're interested in tape/print reading, you may also want to look at iceberg and scale orders (and keep in mind that many orders are submitted by bots and some orders are submitted by bots trying to fool other bots, etc.) - good luck:
http://www.interactivebrokers.com/en/trading/orders/iceberg.php?ib_entity=llc
http://www.interactivebrokers.com/en/trading/orders/scale.php?ib_entity=llc
Now I'll leave you big boys alone and go back to my 1-car units :eek:
Depends on were your trying to get your fill at. You get a quick fill usually if you have a limit above or below a support that has stops there.
Strange you got a better than limit fill, who are you clearing through?
The past 7days has been realllllly strange. If you saw strange fills today I assuming it was because whoever has been buying this market since last Wednesday has been showing no mercy. So it could be because profit taking by those people. Also I noticed alot of big orders on the sell side today that were getting pulled when the market would start going higher.
Keep in mind you are safer to iceberg into a position than out of one. Unless the market is just on fire one way or another and you set the time between orders high so that it works to your advantage.Quote from Picaso:
Nod, you mentioned heavy hitters, so I had to chime in
Were you waiting in the queue or hitting/lifting? (a) crossed market orders; (b) queue removed/filled before your order made it through to the exchange so you're actually hitting the bid-1 (or lifting ask+1).
You have no way to know how the orders for multiple cars in the queue are filled, only market orders and hitters/lifters (i.e. a 50 lot in the bid that is filled will not show up as "50", but as "1, 2, 5, 1, 1, 1, 10, 1, 1, 1, 20... or whatever they're hitting it with); problem is if your chart platform's feed is IB's those prints are misleading (they've been aggregated by x milliseconds so 1, 1, 2, 1, 5 becomes "10"), so you'd have to check the T&S (that is fed by the exchange). Similar problem with IB's aggregated volume (also with duplicated prints, etc.). You can sign up for a sim account in Think Or Swim or some other broker and see their DOM's T&S panels side by side.
If you're interested in tape/print reading, you may also want to look at iceberg and scale orders (and keep in mind that many orders are submitted by bots and some orders are submitted by bots trying to fool other bots, etc.) - good luck:
http://www.interactivebrokers.com/en/trading/orders/iceberg.php?ib_entity=llc
http://www.interactivebrokers.com/en/trading/orders/scale.php?ib_entity=llc
Now I'll leave you big boys alone and go back to my 1-car units :eek: