How does a big volume bar produce a small price movement?

R

rin4et

I was of the opinion that if I had a million dollars worth of shares to buy of a stock trading at lets say $100K per min, there would be a big jump in the price because of lack of liquidity.
However, I have noticed volume go from $100K to $1 million with a little increase in price. How does this occur? Do they perfectly time a big buy order with a big sell order? Or do they buy $600K and sell $400k in quick succession so as to accumulate shares without increasing the price?
I have also noticed a small volume bar produces a big price movement in the same stock a few minutes later.
I am just curious how a big volume bar can produce a small price movement only for a small volume bar to produce a big price movement a few minutes later.
Would appreciate your thoughts.
 
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I haven't traded stocks in a long time but market makers can have a sizable inventory of an issue to buy or sell and feed it out as the other side appears and they often do not want to show their size on L2.
 
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Larger volume might not be directional, so could lessen volatility until price "breaks free".
Also, sophisticated players always try to execute trades without leaving apparent patterns of their intentions or moving the markets too much in their disfavour.
 
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Simples said:
Larger volume might not be directional, so could lessen volatility until price "breaks free".
Also, sophisticated players always try to execute trades without leaving apparent patterns of their intentions or moving the markets too much in their disfavour.
More...
If not by larger volume then how does price "break free"?
 
rin4et said:
If not by larger volume then how does price "break free"?
More...

I said "breaks free", just as an illustration how it might be observed / interpreted / modeled after the fact. However, larger volume might make price stay in the area while it is happening, showing a sort of balance between buyers and sellers. The same can happen with lower volume, producing more of stagnant or erratic movements.

High volume at a price over a period just means more and larger activity at that price for a while. This can at any moment change, thus lead to price discovery at other prices. Similarly for lower volume, though one might spot differences in PA-structures. There just need to be some volume for price to keep changing. What is changing is just the aggregate agreement of price, already reflected and priced in, in price itself.

There's a danger reading too much into a bar or shorter periods, which is why people look at background for bias, though that bias might be changing on the hard right edge.
 
rin4et said:
If not by larger volume then how does price "break free"?
More...
I answered your question but let me give an example as illustration. Let's say Goldman had a million shares of XYZ they want to sell and are feeding it out in 5000 and 10,000 blocks creating a lot of volume but until Goldy sells it's intended inventory, price is not going anywhere.
 
In addition to what Speedo and Simples point out, volume is absorbed or rejected at specific price levels depending on where major players have been, are and are looking to position and re-position.

In equities, the large blocks trade at the close or the open simply do to the natural tendency of large aggregation of capital operating on larger timescales.

On the DOM we see large blocks of limit orders that act like a quantum wall. Sometimes Price just goes right through it like empty space other times it bounces off just shy as if it were a solid wall.

In a different note,
A good exercise is to witness some auctioneers at their craft, how they build energy of the room, how they deal with decreasing buyers and bids and how they capitalize on eager buyers.

Imagine a second auctioneer standing a bit off to the side but their orientation is in the opposite price direction.

They are both working the room. The room between your ears playing the notes to activate the extremes of FOMO.

So a choice comes in terms of how one relates to their own emotional countenance.

The path most taken is to discount them. Hence the chain of pain continuing which frequently takes the form of - "gas lighting"

Yet something becomes available when one's emotions are embraced and accepted.

The most illustrated is the "gut" instinct. Interesting or expected, recent western anatomical discoveries have located different nerve"plexes" along the spinal column operating at times independently of the brain.

Eastern mystery traditions have mapped this out for some time with the concepts of chakras - whirling vortexes of energies exchanging between ourselves and our environment. They are also described as seats of distinct aspects of our consciousness.

How does this relate to trading?

Well, the developing field of behavioral finance can reveal much.
 
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speedo said:
I answered your question but let me give an example as illustration. Let's say Goldman had a million shares of XYZ they want to sell and are feeding it out in 5000 and 10,000 blocks creating a lot of volume but until Goldy sells it's intended inventory, price is not going anywhere.
More...
I am not a professional or institution trader, so it is just my speculation: If say Fidelity wanted to unload 1 M shares of XYZ, they could negotiate with GS for a block trade at the market price to sell all of the 1 M to GS without moving the market? GS then will push those shares to retail boys and girls like us at 100 shares at a time....???? Of course they will sell them at retail, at higher prices.

Don't know if I make any sense or not.
 
Thank you everyone that responded! This may not be related to my original question but how does price break out of a consolidation? I was of the opinion that price breaks out of a consolidation when huge volume comes in. But from observation this doesn't seem to be the case.
Btw I am talking about during the day not at the open or close.
 
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