My History on Elite Trader for those who care ...

¨The stock closed at the top 10% of its trading range which suggested an 85% chance of going higher the following day¨

Tony.

It would be great if you could elaborate this SEBL trade. I'll be happy to learn.

Thanks for your posts.
 
AAA,

one Island seller was on the offer showing 400 shares but taking literally millions and constantly refreshing

I caught the chart of SEBL during the day, but didn't take the time to watch the Level 2. I know that "reserve" capability is a built-in function of a MM's Level 3, and there's a variation of that also built into ARCA, but I didn't know you could setup ISLD for continual refresh. Do you (or anyone) know the mechanics of that process?
 
It is more a function of the software I would think. Realtick will allow the same reserve functionality via ISLD as it does with ARCA. THe only difference is each refresh is considered a separate ticket with ISLD whereas it is one ticket with ARCA. At least that's how it used to be.
 
Magna,

I don't know how they were doing it, I just know what I saw. Later on it looked like he switched to INCA or someone there was doing same thing, but for most of the time it was Island. I commented on it precisely because I had never seen that beofre on Island. He was adding liquidity, so maybe didn't incur Island fees.
 
Magna,

Island also supports hidden orders.. which are not posted to the level 2.. so it would be possible to have a 15k hidden order and a 400 share order with the 15k not showing up on the l2..

-qwik
 
Thanks Qwik. I know ISLD supports hidden orders, but I don't think they support reserve orders (like ARCA). It would be interesting to know the mechanics of how to use hidden orders to "simulate" reserve orders, which is what the SEBL market-maker obviously did.
 
Magna,

As I stated in earlier post, you absolutely can use reserve orders via ISLD. It works (on Realtick) the same as the ARCA reserve order. There is no question that it can be done. WHen you think about it, it is really not that sophisticated in terms of technology. Your trading platform simply sends out a predetermined (display) volume to the ECN (who then displays it on L2 if no match exists) and then replaces it instantly when the displayed volume is taken by sending off another batch of the displayed volume.

Rather than delete this post, I will edit it. As I stated in an earlier post I used to use ISLD reserve orders all the time....until I saw my commission statement and realized I was charged a separate commission for each reserve display executed. Apparently this is no longer available as my friend Tony just told me.....so I stand corrected. I wonder if this was a Realtick decision related to their relationship with ARCA?
 
dufferdon--I assume your name is don and you play golf so you've adopted the handle dufferdon. Well, I for one, and probably many many others on ET would like to see you spend more time on the links and less time on the ET board. You have done harm Don with your paranoid disrupting, disturbing, annoying, insulting, ANAL method of probing some pretty important people(traders) that come to give good information on this site. This pisses me off alot as I want to hear the info these people provide and not have you chase them away for selfish whacky reasons of your own. So give it a rest Don--we dont need you to save us.
 
You are correct on both counts. Unfortunately, although the snow is only a few inches deep so far, it will probably be near the end of March or later before I can golf again. If you would really like me to go golfing, you and others who feel similarly are free to take up a collection to send me to some warm golfing paradise for the rest of the winter. I promise not to take my computer.:)

Strange thread to choose for your blast. I don't see that I have been disruptive here. I asked one respectfully phrased question and did not argue with the response. Neither have I tried to chase anyone away. That is one vendor's interpretation. I have asked them to contribute in a less obtrusive and promotional manner. One of them has agreed with me in another thread. Others who are not vendors have also agreed privately and publicly.

Differences of opinion are a fact of life and something without which we couldn't trade.
 
Originally posted by TonyOz
The stock closed at the top 10% of its trading range which suggested an 85% chance of going higher the following day
More...
FWIW, while awaiting for your reply to my previous message, i took the liberty of performing a simple experiment on SEBL historical EOD data since 1996. the results were pretty much what i expected them to be:

1. stock closes at top 10% of range (202 samples)
next open higher than today's close: 47%
next high higher than today's close: 86%
next close higher than today's close: 48%

2. stock closes at bottom 10% of range (199 samples)
next open higher than today's close: 63%
next high higher than today's close: 93%
next close higher than today's close: 54%

3. all days (1378 samples)
next open higher than today's close: 55%
next high higher than today's close: 88%
next close higher than today's close: 50%

conclusion: historically, having the stock (SEBL) close at the top 10% has actually been a bearish sign, no matter how you look at it. therefore i'm definitely missing something here.

(i tried to enclose the excel sheet with calculations but it was too big. anyhow, the calculations should be fairly simple to reproduce. here's the EOD data from yahoo: http://table.finance.yahoo.com/tabl...90&d=12&e=21&f=2001&g=d&q=q&y=0&z=sebl&x=.csv )

- jaan
 
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