Not on the BId or the Ask

Quote from speculatus:

Don,

The very last thing I want is to let your feed/execution platform mislead you. If the seller hits the bid at 34.40 with the size all the way down to 34.35, the very next bid quote from NYSE would be 34.34 (unless the seller didn't take the whole level at 34.35). This bid can be immediately lifted by algos/autobots, or the seller would immediately step down and you won't notice it - you know NYSE Hybrid can print a couple of dozen quotes within a second for stocks that trade even within 1M shares per day. I do believe (based on my tape observation) that it's very dangerous to send any order just after the sweep - you don't really know which side is going to narrow the spread unless you've already spotted the aggressive side.

That's why I only trade NYSE listed stocks - I can interpret almost every print, and they only thing I have before my eyes when I'm trading is my application output that prints the tape exactly how it appears in real-life: deciphed quote-by-quote, print-by-print.

Every quote and every print matters...
More...

I trade primarily NYSE stocks as well, and have been "all encompassing tape reading" for quite some time. The only point I was making is that trade throughs are allowed with the hybrid system when the Specialist takes over manually.

From the NYSE: Slow Market
The market becomes “slow” or converts temporarily from a Hybrid Market to an auction market so as to enable specialists, floor brokers and customers to interact with quotes and orders manually, with the objective of enhancing liquidity, reducing volatility and discovering price. Certain market conditions temporarily trigger a slow market, including gap quotes, trading halts or reaching LRPs. The slow market can be traded through.

Don
 
100% agree with you. I completely forgot about slow market, when specialists have to step in and provide liquidity.

Here is an example of LPR triggered on DJ 06/21/2007 @12:15:17pm:

...
12:15:18 61.29 x 61.30 1 x 4
12:15:19 61.29 x 61.30 20 x 4
12:15:19 61.29 x 61.30 1 x 4
12:15:20 61.29 x 61.30 20 x 4
12:15:20 61.29 x 61.30 1 x 4
12:15:26 61.29 x 61.30 20 x 4
12:15:26 61.29 x 61.30 20 x 1
12:15:27 61.29 x 61.30 1 x 1
12:15:28 61.29 x 61.30 20 x 1
12:15:29 61.29 x 61.30 1 x 1
12:15:29 61.29 x 61.30 20 x 1
12:15:29 61.29 x 61.30 1 x 1
12:15:31 61.29 x 61.30 20 x 1
12:15:32 61.29 x 61.30 1 x 1
12:15:34 61.29 x 61.30 20 x 1
12:15:34 61.29 x 61.30 1 x 1
12:15:38 61.29 x 61.30 1 x 1
12:15:39 50s60.96
12:15:41 7s60.76
12:15:47 96s60.29
12:15:56 60.16 x 60.25 6 x 8
12:15:56 60.11 x 60.25 5 x 8
12:15:57 60.11 x 60.25 5 x 12
12:15:57 60.12 x 60.25 1 x 12
12:15:57 60.11 x 60.25 5 x 12
12:15:57 251s60.57
12:15:57 60.11 x 60.15 5 x 4
...
 
Thank you for your email. Trades that are negotiated between institutions or are
reported late are two examples of how a trade might not execute or are reported
outside the bid or ask. Please let us know if you have any further questions
regarding your account.


Sincerely,

Jon M.

Scottrade, Inc.

www.scottrade.com

www.ScottradeElite.com
 
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