same stuff on gaps down when there's a lot of supply and plenty of traders seekin' to borrow. that 1lot is a tale tell. could be slightly more but not much and always much more on offer: same shit stock's usually goin' to tumble. prob is that u dont know the horizon: could be a couple of c [not enough to go past the spread] then showin' the exact opposite on the tape and reverse. also it ain't a law and there are other factors in play..where the orders go off--bid?ask? how sizable are those most important how repetitive is certain size, list goes on and on. i trade just off quotes, never look at charts to make my entries/exits decisions, u got much more info there.
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how do you know the size is still legit
- Thread starter FastandFurious
- Start date
Quote from Bitstream:
that 1lot is a tale tell. could be slightly more but not much and always much more on offer: same shit stock's usually goin' to tumble.
Hmm... I've seen the spec showing 1 on bid/offer and seen him print BIG lots on that price (while there was nothing in the open book at that price) 'eating' a lot of momentum
Remember that open book is delayed by up to 5 sec. It's also strictly the limits placed through SDOT or with the specialist. What happens on the floor is rarely reflected in the book.
The most telling indicator in these instances is not the quote or the book but the PRINT. HOW MUCH prints and WHERE it prints (on the bid or offer).
The book can give you a solid indication of how imbalanced the supply/demand balance is at first, but it should only be a bias. After that, you need to watch where the prints go, and how much gets printed at certain prices. If orders on the book show up, but get printed immediately, for instance, you have a good reason to think that someone on the opposite side is hiding their size. And usually the guys hiding their size are bigger.
The most telling indicator in these instances is not the quote or the book but the PRINT. HOW MUCH prints and WHERE it prints (on the bid or offer).
The book can give you a solid indication of how imbalanced the supply/demand balance is at first, but it should only be a bias. After that, you need to watch where the prints go, and how much gets printed at certain prices. If orders on the book show up, but get printed immediately, for instance, you have a good reason to think that someone on the opposite side is hiding their size. And usually the guys hiding their size are bigger.
Quote from luckybastard:
Hmm... I've seen the spec showing 1 on bid/offer and seen him print BIG lots on that price (while there was nothing in the open book at that price) 'eating' a lot of momentum
i already said it ain't a law; many times is a scare print to freak out buyers/invite sellers as opposed to flash a big size offer.
Quote from Dogballoon:
Remember that open book is delayed by up to 5 sec. It's also strictly the limits placed through SDOT or with the specialist. What happens on the floor is rarely reflected in the book.
The most telling indicator in these instances is not the quote or the book but the PRINT. HOW MUCH prints and WHERE it prints (on the bid or offer).
The book can give you a solid indication of how imbalanced the supply/demand balance is at first, but it should only be a bias. After that, you need to watch where the prints go, and how much gets printed at certain prices. If orders on the book show up, but get printed immediately, for instance, you have a good reason to think that someone on the opposite side is hiding their size. And usually the guys hiding their size are bigger.
hmm about hiding the size, i noticed that at the close, the openbook will magically display huge sizes where as just momments before the closing bell, it looks "normal"
Quote from FastandFurious:
steve, bit, thanks for the inputs, let me "summarize" and group my thoughts so far. Please feel free to comment.
What Happened This morning WB was downgraded, and I clearly see some institutional size right at the closing price. The market opens, all hell breaks loose lol, and the size prints some off, gaps down, and starts to step down penny by penny.
what I felt weird I see the size in the openbook and on the Level II, i see that the new york spread is not congruent to what was shown in the openbook. I saw a "1" on the bid, and some size at the offer that was not the same as what was shown in the openbook. If I remember correctly, the size in the openbook was still stepping down but outside of the spread that was shown on level II. Seconds later, the level II new york quote reflects the openbook and the level II offer was the size in the openbook offer.
some characteristics
-no sizable bids came in at that time
-the new york quote on level II was stagnant until it was matched with the quote on the openbook seconds later
-the ecn prices were ahead of the new york going downward
...maybe it's just a refresh problem?
the important thing here is that
1. the size is stepping down on the openbook, which shows aggressiveness and thus it's not stagnant, which will not likely to get printed. No bids came either at that time.
2. in order for that size to be printed, it has to be in the spread on level II, which if I remember correctly- was not.
So i guess the size is legit and maybe it's just a refresh or specialist is filling orders for traders who wants to get short?
In what situation similar to this would the size not be legit?
I am not sure I am understanding everything that is being asked in this post but let me throw out some thoughts here:
when you see the specialist lock his quotes, (post 1) he is merely turning off his 'auto-ex' . He needs to do so in order to limit his liability, obviously if there are aggressive sellers and he leaves his auto-ex on he could get creamed.
Second, the quotes u see in the open book aggressively crossing into the bid with size are guys who are jumping over top of each other trying to sell and these guys are 'stuck' for the moment because the specialist has turned himself off and is saying 'whoa, I'm being overwhelmed here I need a sec to get my shit together and figure out what I should do'. This is the killer thing about NY, and I assume something that will change dramatically with full implementation of the hybrid system, when the specialist locks his execution you are dinked till he turns back on. This is the reason why you see guys tripping over each other in the open book, because they don't want to put mkt sell orders out , but they want to make there price is aggressive enough they will get filled. They also realize that if they go deep enough into the bid, they will get filled, and if there is a buyer it doesn't matter if they cross down 50 cents or more they will get price improved. This is one of those big difference with NYSE vs NAZ, because the execution is not fully electronic and there are 'trade thru' and strict downtick sales rules you can get jammed up pretty hard when u are in a panic to get out.
Remember the specialists stated primary role is to 'maintain an orderly market' but that doesn't mean he is going to step in front of a freight train and let u have a free shot at him. Quite the opposite, he has the advantage of basically putting everyone on hold while he decides what to do. To a large extent this dampens the volatility on NYSE compared to Nasdaq, and also creates a lot of tradeable inefficiencies in the market. On the other hand it can bite you in the ass real hard when you are panicking out of something because you are caught offside.
Hope that helps.
Quote from AutoMate:
I am not sure I am understanding everything that is being asked in this post but let me throw out some thoughts here:
when you see the specialist lock his quotes, (post 1) he is merely turning off his 'auto-ex' . He needs to do so in order to limit his liability, obviously if there are aggressive sellers and he leaves his auto-ex on he could get creamed.
Second, the quotes u see in the open book aggressively crossing into the bid with size are guys who are jumping over top of each other trying to sell and these guys are 'stuck' for the moment because the specialist has turned himself off and is saying 'whoa, I'm being overwhelmed here I need a sec to get my shit together and figure out what I should do'. This is the killer thing about NY, and I assume something that will change dramatically with full implementation of the hybrid system, when the specialist locks his execution you are dinked till he turns back on. This is the reason why you see guys tripping over each other in the open book, because they don't want to put mkt sell orders out , but they want to make there price is aggressive enough they will get filled. They also realize that if they go deep enough into the bid, they will get filled, and if there is a buyer it doesn't matter if they cross down 50 cents or more they will get price improved. This is one of those big difference with NYSE vs NAZ, because the execution is not fully electronic and there are 'trade thru' and strict downtick sales rules you can get jammed up pretty hard when u are in a panic to get out.
Remember the specialists stated primary role is to 'maintain an orderly market' but that doesn't mean he is going to step in front of a freight train and let u have a free shot at him. Quite the opposite, he has the advantage of basically putting everyone on hold while he decides what to do. To a large extent this dampens the volatility on NYSE compared to Nasdaq, and also creates a lot of tradeable inefficiencies in the market. On the other hand it can bite you in the ass real hard when you are panicking out of something because you are caught offside.
Hope that helps.
the thing that I am worried about is that if he locks the bid ("1"), does that mean that all of us traders are trying to get short because of the good bearish situation here? He is just merely taking a time out to figure out what's going on? I am concerned because what if the aggressive size gets printed in one shot and all of us trying to sell are fucked.
What I saw on friday was that he locks the book, but the offer was still aggressively stepping down, so maybe the aggressiveness should indicate that he is not going to print it in one shot ?
Quote from FastandFurious:
the thing that I am worried about is that if he locks the bid ("1"), does that mean that all of us traders are trying to get short because of the good bearish situation here? He is just merely taking a time out to figure out what's going on? I am concerned because what if the aggressive size gets printed in one shot and all of us trying to sell are fucked.
What I saw on friday was that he locks the book, but the offer was still aggressively stepping down, so maybe the aggressiveness should indicate that he is not going to print it in one shot ?
Well, it depends on the situation but it is my experience that if you are offside (meaning caught with your pants down holding a bad position) you are indeed going to get "fucked". Thats the thing that is always scary about NY . Most stocks do the majority of their volume thru the specialist and when it comes to situations like above you are at his mercy. You really have no way or getting out, you just have to cross your fingers and pray he doesn't ram you too hard. In liquid issues it shouldn't be too bad, but in illiquid stuff......... ouch! As for getting short, forget it. By the time you get it it's usually too late.
Ohh , and if you want an example of how all this works and how the specialist will treat you when he has you by the balls check out madmunny ' s little experiment from a couple of Friday's ago on the P/L 2006 thread. When you try to market out of a position the specialist is not your friend. Another interestesting example although a little different would be MNX's trade from a couple of Friday's ago as well. It can be found on the same thread a couple of posts apart.
Quote from FastandFurious:
right, I noticed that sometimes the size offer would get nibbled 2000, 5000, 7500 at a time until it's gone but I'm talking about when the whole thing gets printed in one shot, very clean, one shot, would the specialist show a "1" on the offer at that price level? I observed that there was a 1 on Level II New York at that sized offer, and the next thing I know, it was printed in one shot.
The earlier part about it is that the size in the openbook keep stepping down, but he shows a 1 on the bid in level II and the new york quote is not "up to date" with the openbook but rather stagnant, then seconds later, the new york quote on level II would reflect what it was shown in the openbook
my question is: the size is still stepping down in the openbook, eventhough the new york spread on level II is stagnant, can that size be trusted or lifted in one print as it is within the spread. I understand that if the size is aggressively stepping down but not in the spread on level II, then the size is fine since the specialist cannot print outside his own spread. is the one on the bid just taking a couple of seconds out to fill orders for traders?
What does it mean to have a 1 on the bid when the size is on the offer side and vice versa? and what's the difference of having 1 x1? I assume that the 1 on the bid locks the bid side of the book, but you can still short/sell and vice versa? and the 1 x 1 locks the whole book