Institutional Buying/Selling

I did find this;
"Each ATS is required to report to FINRA its weekly aggregate volume information on a security-by-security basis. FINRA will publish the information regarding Tier 1 NMS stocks (i.e., stocks in the S&P 500 Index, the Russell 1000 Index and certain ETPs) on a two-week delayed basis. Information on all other NMS stocks and OTC equity securities subject to FINRA trade reporting requirements will be released two weeks following the publication of information for the Tier 1 NMS stocks."
Not sure how current it is.
 
deaddog said:
I did find this;
"Each ATS is required to report to FINRA its weekly aggregate volume information on a security-by-security basis. FINRA will publish the information regarding Tier 1 NMS stocks (i.e., stocks in the S&P 500 Index, the Russell 1000 Index and certain ETPs) on a two-week delayed basis. Information on all other NMS stocks and OTC equity securities subject to FINRA trade reporting requirements will be released two weeks following the publication of information for the Tier 1 NMS stocks."
Not sure how current it is.
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That’s different.

Here’s the link you’re looking for:
https://www.finra.org/filing-reporting/market-transparency-reporting/trade-reporting-faq
 
longandshort said:
A buy side trader will usually analyze adv and seek to cap orders as a % of adv through some time period.

If you have a block of shares that you need to fill, you’ll first reach out to crossing networks (dark pools or brokers), before doing anything on a lit exchange. Once you need to go public you’ll use strategies to limit market impact (basic examples include vwap, iceberg, dark ice, etc.). Those orders break up a larger order through the trading period.

That’s a basic overview of how buy side (institutional) orders are managed.
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the OP wants to know how to determine all that with "price action" LOL
 
tayte said:
the OP wants to know how to determine all that with "price action" LOL
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No the OP just was curious about the process. I'm aware of dark pools and brokerage crosses. Years go I listened to Cramers rant. There are posters here who claim to have worked for hedge funds and was wondering if they could add anything.
 
deaddog said:
One thing I would like to know, that I've had trouble finding, is the process institutions use to hide their buying and selling of positions.

I make assumptions based on price action and volume but it would be nice to hear from someone who has actually been involved.
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This is a broad topic is called "Execution Tactics." There's a lot of techniques out there. VWAP and variants are quite popular.

Here is one example on Investopedia: an Iceberg order, a form of Hiding
https://www.investopedia.com/terms/i/icebergorder.asp

Here's a list from Algorithmic Trading & DMA (Johnson, 2014)

I. Impact-Driven Tactics
... a. Slicing
... b. Hiding

II. Price/Risk-driven Tactics
... a. Layering
... b. Pegging
... c. Catching

III. Opportunistic/Liquidity-driven tactics
... a. Seeking
... b. Sniping
... c. Routing
... d. Pairing
 
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kmiklas said:
There's a lot of techniques out there. VWAP is quite popular. Here's a list from algo
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Vwap is more of a benchmark price and less of a strategy. You can run a vwap (best efforts or actual) to try to match the realized vwap but that’s not helpful if you’re moving real size as you move the benchmark.

TCA is a huge part of buy side trading and firms are constantly looking for ways to improve execution.

Example TCA report-- notice average fill size.
upload_2021-7-24_20-41-16.png
 
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