if nothing else, this thread demonstrates rather clearly that the NYSE specialist does not conduct a straight forward, intuitive, or consistent market making process.
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Observations on the NYSE specialist.
- Thread starter oliver777
- Start date
Ooops, when I said the following, it was unclear, so let me correct it. Here is what I posted:
What I meant to say, with changes in boldface, is that:
I have always expressed the opinion that the 200K of selling interest, or any other sell orders arriving on the specialist book after Dan's order, did not have parity with Dan, and that Dan had priority over those booked sell orders. I have always expressed the opinion that the specialist book is strictly price-time priority, so that Dan had priority over the 200k. I expressed the opinion that the selling interest which executed with priority ahead of Dan, or executed with Dan at parity, was NOT the 200K which he saw on the specialist book. I have suggested that perhaps the trades reported after his partial fill were reported later in time, but may have resulted from selling interest on parity with Dan's partial fill.
But I now think that what really happened is that market orders or better priced limit orders took price priority over Dan's limit order, and received price improvement so that they executed at Dan's limit price. Nobody seems to be expressing any contrary opinion.
Quote from jimrockford:
I have always expressed the opinion that the 200K of selling interest, or any other sell orders arriving after Dan's order, did not have parity with Dan, and that Dan had priority over those sell orders. I have always expressed the opinion that the specialist book is strictly price-time priority, so that Dan had priority over the 200k. I expressed the opinion that the selling interest which executed with priority ahead of Dan, or executed with Dan at parity, was NOT the 200K which he saw on the specialist book. I have suggested that perhaps the trades reported after his partial fill were reported later in time, but may have resulted from selling interest on parity with Dan's partial fill.
What I meant to say, with changes in boldface, is that:
I have always expressed the opinion that the 200K of selling interest, or any other sell orders arriving on the specialist book after Dan's order, did not have parity with Dan, and that Dan had priority over those booked sell orders. I have always expressed the opinion that the specialist book is strictly price-time priority, so that Dan had priority over the 200k. I expressed the opinion that the selling interest which executed with priority ahead of Dan, or executed with Dan at parity, was NOT the 200K which he saw on the specialist book. I have suggested that perhaps the trades reported after his partial fill were reported later in time, but may have resulted from selling interest on parity with Dan's partial fill.
But I now think that what really happened is that market orders or better priced limit orders took price priority over Dan's limit order, and received price improvement so that they executed at Dan's limit price. Nobody seems to be expressing any contrary opinion.
Quote from jimrockford:
But I now think that what really happened is that market orders or better priced limit orders took price priority over Dan's limit order, and received price improvement so that they executed at Dan's limit price. Nobody seems to be expressing any contrary opinion.
Not possible.
Jim, thank you for taking the time to come back to this, and answer it for me, in a civilized manner, I was just wondering what you mean by "market orders" or "better priced limit" orders, this was not a market sell order which got price improvement these were clearly buy orders coming across and hitting the offer price, and it was not just one block of 40,000 it was all random amounts.
I see this happen day in an day out, another example today, I see about 20,000 shares on the offer and F looks like it is going up, now I go to buy 15,000 of these shares and my order was up for about 5 seconds, then all of a sudden 90k jumps on board behind me, and the specialist gives me 9800 of the shares which were clearly there, however he does take exactly the amount of shares off of our combined bid that was showing on the offer thus it was not market orders entered before me, I never seem to notice this on any stock except Ford. I am starting to think this guy is not a crook just a complete fucking retard, because these situations happen all the time. Any one else out there who trades this stock care to offer an opinion?
Hamlet what do you mean by "on parity"???
-Dan
I see this happen day in an day out, another example today, I see about 20,000 shares on the offer and F looks like it is going up, now I go to buy 15,000 of these shares and my order was up for about 5 seconds, then all of a sudden 90k jumps on board behind me, and the specialist gives me 9800 of the shares which were clearly there, however he does take exactly the amount of shares off of our combined bid that was showing on the offer thus it was not market orders entered before me, I never seem to notice this on any stock except Ford. I am starting to think this guy is not a crook just a complete fucking retard, because these situations happen all the time. Any one else out there who trades this stock care to offer an opinion?
Hamlet what do you mean by "on parity"???
-Dan
Quote from jimrockford:
Ooops, when I said the following, it was unclear, so let me correct it. Here is what I posted:
What I meant to say, with changes in boldface, is that:
I have always expressed the opinion that the 200K of selling interest, or any other sell orders arriving on the specialist book after Dan's order, did not have parity with Dan, and that Dan had priority over those booked sell orders. I have always expressed the opinion that the specialist book is strictly price-time priority, so that Dan had priority over the 200k. I expressed the opinion that the selling interest which executed with priority ahead of Dan, or executed with Dan at parity, was NOT the 200K which he saw on the specialist book. I have suggested that perhaps the trades reported after his partial fill were reported later in time, but may have resulted from selling interest on parity with Dan's partial fill.
But I now think that what really happened is that market orders or better priced limit orders took price priority over Dan's limit order, and received price improvement so that they executed at Dan's limit price. Nobody seems to be expressing any contrary opinion.
Quote from dwl603:
Jim, thank you for taking the time to come back to this, and answer it for me, in a civilized manner, I was just wondering what you mean by "market orders" or "better priced limit" orders, this was not a market sell order which got price improvement these were clearly buy orders coming across and hitting the offer price, and it was not just one block of 40,000 it was all random amounts.
I see this happen day in an day out, another example today, I see about 20,000 shares on the offer and F looks like it is going up, now I go to buy 15,000 of these shares and my order was up for about 5 seconds, then all of a sudden 90k jumps on board behind me, and the specialist gives me 9800 of the shares which were clearly there, however he does take exactly the amount of shares off of our combined bid that was showing on the offer thus it was not market orders entered before me, I never seem to notice this on any stock except Ford. I am starting to think this guy is not a crook just a complete fucking retard, because these situations happen all the time. Any one else out there who trades this stock care to offer an opinion?
-Dan
Dan, you must be suprised to see us still talking about your order for all these pages. Anyway, it's been an engaging discussion to say the least.
What you described above is what happens when another buyer or seller gives an order to a floor broker, which happens to be on the same side and price as yours , i.e. you are both buying F on the inside bid. At that point (when the floor broker arrives with the order), both you and the floor broker will participate in any trades at that price. If there is more than one floor broker there working an order, all will participate. In neither case can you be shut out though, as was suggested on this thread quite a bit, but it is my hope all are clear on that now. I suggest you try including the use of floor brokers in your trading arsenal.
Let me know if you have any other questions about this.
Quote from dwl603:
Jim, thank you for taking the time to come back to this, and answer it for me, in a civilized manner, I was just wondering what you mean by "market orders" or "better priced limit" orders, this was not a market sell order which got price improvement these were clearly buy orders coming across and hitting the offer price, and it was not just one block of 40,000 it was all random amounts.
I see this happen day in an day out, another example today, I see about 20,000 shares on the offer and F looks like it is going up, now I go to buy 15,000 of these shares and my order was up for about 5 seconds, then all of a sudden 90k jumps on board behind me, and the specialist gives me 9800 of the shares which were clearly there, however he does take exactly the amount of shares off of our combined bid that was showing on the offer thus it was not market orders entered before me, I never seem to notice this on any stock except Ford. I am starting to think this guy is not a crook just a complete fucking retard, because these situations happen all the time. Any one else out there who trades this stock care to offer an opinion?
Hamlet what do you mean by "on parity"???
-Dan
Dan,
I was worried that you had abandoned the thread because you were treated rudely. I'm glad to see you back. I really want to get to the bottom of your complaint about NYSE.
Let me first focus on your first complaint.
You got your partial fill, but buying continued while you were excluded from further participation. What makes you so certain that this continued buying was not interacting with newly arriving market sell orders taking priority over your limit order? What makes you so certain that this continued buying was not interacting with newly arriving limit sell orders having a lower price than your own limit price, so that those limit orders had price priority over your limit order?
Let me now focus on your second complaint. I'm not sure I understand your words, but if I do, then I would guess the following. It sounds like the number of shares which you thought were on the offer were not actually available. The specialist displayed 20,000 shares on the offer, but the true number available was only the 9,800 you received. The reason why 20,000 shares were displayed, instead of 9,800 shares, is that the size on the offer was updated very slowly. The offer size you were seeing, 20,000, was not the amount of shares available on the offer; it was the amount of shares available on the offer perhaps 30 to 60 seconds ago. This is commonplace for NYSE trading. Could this explain your second experience?
Let's make some effort to really determine exactly what happened, or at least might have happened, in both cases.
ok that makes sense, thank you for the response Hamlet, so then does that mean I should have questioned the earlier fill where I got shut out all together??
This doesnt seem to to happen to me nearly as much on any other stock but I guess maybe the volume would contribute to the fact that there would be more of these floor orders being split at times. And yes, I already use this as a useful tool in determining strength/weakness, thank you for clearing this up for me.
you can probably see how this would look like stealing to someone who has only been trading for 6 months when every time it happens the stock goes the opposite way, this obviously makes sense now as there is more floor orders competing for the same shares.
Jim I saw these shares coming off of the book or atleast a good chunk of them anyways. There were no market sell orders
thx again guys
-Dan
This doesnt seem to to happen to me nearly as much on any other stock but I guess maybe the volume would contribute to the fact that there would be more of these floor orders being split at times. And yes, I already use this as a useful tool in determining strength/weakness, thank you for clearing this up for me.
you can probably see how this would look like stealing to someone who has only been trading for 6 months when every time it happens the stock goes the opposite way, this obviously makes sense now as there is more floor orders competing for the same shares.
Jim I saw these shares coming off of the book or atleast a good chunk of them anyways. There were no market sell orders
thx again guys
-Dan
Quote from dwl603:
I see this happen day in an day out, another example today, I see about 20,000 shares on the offer and F looks like it is going up, now I go to buy 15,000 of these shares and my order was up for about 5 seconds, then all of a sudden 90k jumps on board behind me, and the specialist gives me 9800 of the shares which were clearly there, however he does take exactly the amount of shares off of our combined bid that was showing on the offer thus it was not market orders entered before me,-Dan
It is also possible that the orders arrived close to the same time. The rules in this case, if time priority cannot be clearly determined, that both or all orders participate. I'd love it if you could post some t&s examples or at least the exact times on the day you do these trades so that I can really take a hard look at the tape and try to help you determine what is going on.
Quote from dwl603:
ok that makes sense, thank you for the response Hamlet, so then does that mean I should have questioned the earlier fill where I got shut out all together??
you can probably see how this would look like stealing to someone who has only been trading for 6 months when every time it happens the stock goes the opposite way, this obviously makes sense now as there is more floor orders competing for the same shares.
Yes I would have definitely been on the phone to find out what went on in that first case where you were completely shut out. I totally understand your skepticism. I hope things make more sense now.
Here is another useful thing to try: Next time you are doing a large order like that, send an additional small market order (maybe 500 shares or so) alongside your limit to see what that yields. This can provide some feedback for you.
the only time this is a big problem is going short, 10,000- 15000 shares where I should have been in line can cost me shitloads of money when the stock turns and I am unable to get short. problem with the market orders is that F is non sho, When this happens on the bid I dont mind as much because I just step up and buy it where I have to.
Tomorrow I will write down examples and try to take some screens if I remember
again thx for the responses didnt think my such an innocent question would generate such a heated debate.
oh yeah one other thing, shouldnt these shares atleast be distributed equally?? see3ms like the little guy always gets the raw deal in these situation eg. 20,000 will print and I will only get like 2 I find it highly unlikely that 20 orders came at the exact same time. This in itself shows that there should be some changes made to the system.
-Dan
Tomorrow I will write down examples and try to take some screens if I remember
again thx for the responses didnt think my such an innocent question would generate such a heated debate.
oh yeah one other thing, shouldnt these shares atleast be distributed equally?? see3ms like the little guy always gets the raw deal in these situation eg. 20,000 will print and I will only get like 2 I find it highly unlikely that 20 orders came at the exact same time. This in itself shows that there should be some changes made to the system.
-Dan