Large orders half hour before close

E

esc_trader

I noticed, in one of the Nasdaq stocks I trade - every day a half hour before the close large bids and offers come in. All day the Level 2 shows sizes like 10 and 20, and suddenly you see 432, 612, and like numbers on there. Every day, at 3:30pm ET.

I think there is something that happens regarding MOC orders on the NYSE around that time. Why would this affect Nas stocks?

 
the pickup of trading in the last half hour is one of those things that is a well known occurance. Many people do most of their trades in the last half hour. It effects the entire U.S. stock market and has nothing to do with how the orders are routed.
 
i think it was Trout who observed markets tend to have U shaped liquidity distribution- lowest at midday w/ majority of activity at open and close
 
I'm not talking about the pickup in trading or volume. I'm saying that all day long the bids and offers from the MMs and ECNs size 1-20 lots typically on the Level 2.

At 3:30, these 400-800 lot sizes start showing up (typically on ISLD or INCA). Usually they move the market in the opposite direction. (People see 800 size on the L2 and don't want to trade against it!)

I was wondering if there is any kind of order imbalance info released, program trading effects.. I don't know.. anything that would account for this? Maybe just a big trader trying to move things in a certain direction. (ie.. showing big size on the bid/small on the offer to reduce a position)
 
larger traders may simply gravitate towards the opening and close to ensure there is more liquidity to handle their size, creating an observable snowball effect.

just a guess
 
Originally posted by esc_trader
I'm not talking...
...I was wondering if there is any kind of order imbalance info released, program trading effects.. I don't know.. anything that would account for this? Maybe just a big trader trying to move things in a certain direction. (ie.. showing big size on the bid/small on the offer to reduce a position)
More...

DJ News gives this informtion towards the end of trading for the NYSE stocks I trade...however, I don't know if this information is available for Naz stocks as there is no centralized place (like the NYSE) where this info is collected...different markets, and all that.

Bright gave us some techniques for capitalizing on the imbalance that normallly occurs every day...send him a PM for more info...he is the expert...

Best regards,
Jim
aka airspeed
 
market imbalances are reported publicly at 3:40 on exchanges. nasdaq, not being an exchange, has no imbalances. I believe it is just the pattern of volume coming in.....3:30 way too early to be "painting the tape" (if that really goes on:-).
 
The big size is likely what's left of larger orders that have been worked all day. By 3:30 , it's time to get it done, and so the MM's are more likely to display true size.

There are some other possibilties but that's the most likely.
 
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