Level 2

Y

youngtrader

Anybody want to explain to me whats going on in the level 2 book? I'm very familiar with a futures orderbook but an equities orderbook looks much more complex. The last time I looked at a level 2 was when I was 15 years old.......so its been 3 years :D

Just have a few basic questions.

First who are all of the symbols next to the prices? Are they market makers, funds, etc?

Why are there multiple bids and offers at one price instead of just the sum of bids/offers at that price like in the futures orderbooks?

What do the little plus/minus mean next to the shares mean?

Also if anybody could provide a brief explanation (or detailed, which would be appreciated) about how market makers, funds, etc execute orders in the equities markets? I often find that when there is a total bid of 25,000 shares at a particular price when somebody hit that bid he often will get filled for 4 times that amount.........are these guys hiding some of there orders?

Any help is appreciated!

YT
 
Quote from youngtrader:
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First who are all of the symbols next to the prices? Are they market makers, funds, etc?



MM's, ECNs.


What do the little plus/minus mean next to the shares mean?

i believe that's uptick.

are these guys hiding some of there orders?

yes. if i have size, i often do a "show this many, but i have this many i really want"
 
Quote from gaj:


First who are all of the symbols next to the prices? Are they market makers, funds, etc?



MM's, ECNs.


What do the little plus/minus mean next to the shares mean?

i believe that's uptick.

are these guys hiding some of there orders?

yes. if i have size, i often do a "show this many, but i have this many i really want"
More...


Ok, interesting about hiding size.........is this possible for a retail trader or can only mm's do this technique?

Also how are orders executed? Like in futures its either fifo or pro rata. Like right now im watching a stock and UBSS then NSDQ then arcx...........if they are all offering at the same price who gets filled first?
 
All the different ECNs compete with each other for executions. There is so much information about the different kinds of orders, executions, ECNs, etc, it could easily fill a book. (However, if you see a book that claims to explain it, the book is bullshit.)

If there are 3 different ECNs bidding for 1k on the same price, it's impossible to know which will get filled first. It depends on how the seller chooses to route his order. If a seller wants to sell 1k, he might choose to send all of it to NSDQ. Or maybe 200 to each ECN. Or he might send 100 ten times alternating ECNs. It can be as simple or complicated as he wants to make it. As a trader, figuring out how to get the best executions (and figuring out how the big players are moving their stock) is a constant struggle.
 
Quote from youngtrader:

Ok, interesting about hiding size.........is this possible for a retail trader or can only mm's do this technique?
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Its called the iceberg order... Or a hidden order...

BTW often brokerages will pull orders even if you have not said hidden or iceberg.
 
Thanks for the help guys.

Are you guys primarily level 2 traders?

Any other help you can give me would be great!

Something I witnessed today was in a lesser liquid stock (I believe it traded 20,000 shares today) UBS was offering 1400 shares, then cinn and tmbr leaned on that size and got filled, eventually the 1400 got taken out but then UBS came back at I believe the same price offering 3300 and the market sold off hard. Before it tanked cinn and tmbr went bid about .30 lower once they were filled so I imagined they were probably scalpers........right? UBS never got filled on that 3300 and it makes me wonder why they would "tip their hat" so much and let that much size be seen on the book?

Also does leaning on size work that well with equites? Its very very dangerous to lean on size in the futures markets, it seems that they always blow through that size in the book on the futures markets but maybe its different with equities?

Is just watching the book the only way to identify the scalpers and market makers? Or are there certain symbols that I can look for on the level 2?

YT
 
Quote from youngtrader:
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Ok, interesting about hiding size.........is this possible for a retail trader or can only mm's do this technique?

i'm a real small time trader. my trades definitely don't disturb the big picture...

and it's definitely possible for me. just need direct access brokerage.
 
Quote from youngtrader:


Something I witnessed today was in a lesser liquid stock (I believe it traded 20,000 shares today) UBS was offering 1400 shares, then cinn and tmbr leaned on that size and got filled, eventually the 1400 got taken out but then UBS came back at I believe the same price offering 3300 and the market sold off hard. Before it tanked cinn and tmbr went bid about .30 lower once they were filled so I imagined they were probably scalpers........right? UBS never got filled on that 3300 and it makes me wonder why they would "tip their hat" so much and let that much size be seen on the book?

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It looks like starting an avalanche was exactly what UBS was trying to do... those guys usually display 100 shares when they want to get filled...

All the big brokers play games on the level 2 to get their orders filled... they'll show big size on the bid when they want to sell... or the stock will move without printing once simply because all the bids get cancelled while offers are placed at more and more aggressive prices...

leaning on size... can be dangerous business...
 
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