ES Journal Archive (2006 - 2008)
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Shorted 1/2 position at 1471.75. Added on short at 1469.75. Closed first 1/2 at 1467.75 for +4. Holding remaining 1/2, target 1465+-.
Dumb question: Why do trades (sometimes big blocks) cross the time and sales window at "above ask" or "below bid"? What would cause a trade (especially a big one) to fill above ask or below bid?
Dumb question: Why do trades (sometimes big blocks) cross the time and sales window at "above ask" or "below bid"? What would cause a trade (especially a big one) to fill above ask or below bid?
I am not sure, I have wondered about the same thing
Here's what I think (have absolutely no way of knowing)
maybe there weren't enough contracts available to fill the block order at original bid or ask?
Or if limited, could indicate that the buyer or seller of the block was truly aggressive and absolutely wanted out (or in ) of entire position, immediately, some filled at current b or a, others filled at the higher (or lower) specifically designated by buyer or seller to insure complete liquidation (or establishment) of position.
does this make any sense?
Here's what I think (have absolutely no way of knowing)
maybe there weren't enough contracts available to fill the block order at original bid or ask?
Or if limited, could indicate that the buyer or seller of the block was truly aggressive and absolutely wanted out (or in ) of entire position, immediately, some filled at current b or a, others filled at the higher (or lower) specifically designated by buyer or seller to insure complete liquidation (or establishment) of position.
does this make any sense?
Maybe I don't understand the terminology.
Suppose current bid is 100 and current ask is 101.
If you place a small limit order to sell at 99, my understanding is that it will be filled at 100, not 99, because 100 is the bid, and the 99 you specified is not the fill price but rather the "limit" of the lowest fill price you will accept. So if I'm right, your fill would be "at bid" even if your limit was below bid.
Now suppose you place a large sell order limit 99, and let's say that only 1/2 your quantity is available at 100 bid. My understanding is that you'd fill 1/2 at the bid price of 100, at which point the new bid price would be 99 (since all the bids at 100 have been filled), so the remainder of your order would fill at the then-current bid price of 99. Wouldn't both of those blocks list "at bid" on the time and sales window?
I'm obviously missing something.
Suppose current bid is 100 and current ask is 101.
If you place a small limit order to sell at 99, my understanding is that it will be filled at 100, not 99, because 100 is the bid, and the 99 you specified is not the fill price but rather the "limit" of the lowest fill price you will accept. So if I'm right, your fill would be "at bid" even if your limit was below bid.
Now suppose you place a large sell order limit 99, and let's say that only 1/2 your quantity is available at 100 bid. My understanding is that you'd fill 1/2 at the bid price of 100, at which point the new bid price would be 99 (since all the bids at 100 have been filled), so the remainder of your order would fill at the then-current bid price of 99. Wouldn't both of those blocks list "at bid" on the time and sales window?
I'm obviously missing something.
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