open auction fills

[Traveler]

Quote from eusdaiki:

Nasdaq n nyse each have an imbalance feed for the auction. Not sure if Ib uses it

They have a field for "imbalance" you can call up on TWS, but I've never seen it changing.

 

[eusdaiki]

Quote from Traveler:

They have a field for "imbalance" you can call up on TWS, but I've never seen it changing.

the nasdaq and nyse ones change on a periodical basis, not real time.
and they change only in the last few minutes before the auction.

 

[Daal]

Quote from eusdaiki:

It depends on the symbol's total interest and imbalance.
If you have a 2 mm share imbalance & 10mm total interest then you can buy 100k shares with no problem.
On the other hand if you have a 10k imbalance and 200k total interest. Then buying 100k shares would have significant impact in price.

As I understand even though the latter example would create a significant imbalance the price of the auction would not be allowed to trade outside the NYSE Arca book correct?
Of course the quotes will move when they see a significant imbalance like that but at least it creates some kind of market price instead of allowing the specialist of just ripping you off like crazy

 

[cdcaveman]

Is a specialist just a legal front runner? Ultimate bucketeer of trades?

 

[Shadetree42]

Quote from cdcaveman:

Is a specialist just a legal front runner? Ultimate bucketeer of trades?

Yes. People whine about HFTs, when the real low-hanging fruit to go after is the NYSE specialists. They just siphon money out of the system.

 

[Shadetree42]

http://www.itg.com/news_events/papers/Inside_Opening_Auction.pdf