Something is fishy in the overnight session

Quote from TriPack:

Nitro,

I would think that a savy trader such as yourself would understand that on the overnight session you have to keep one eye on NQ and the other eye on ND to get a full picture of what volume is going through on this contract as well as the actual size on each side of the B/A spread.
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Tripack,

[I completly missed your post - sorry for the delayed response.]

Thanks for the complement. Unfortunately, I did not have the ND up on my screen at that time. I will be more careful next time. Perhaps I am not as astute as I should be :(

nitro
 
That's something new to me - anyone who knows something about auto-quoting willing to share?

I always figured that the big boys don't care about the overnight session before London opens since there is so little liquidity. Guess I might be wrong!
 
Autoquoting just means that "Market Makers" are using some software with some sort of model that will automatically make a market in a given underlying.

Options MM do this all the time, and during the regular hour where the underlying's cash market is open, this happens in nearly all electronic markets.

nitro
Quote from TheStudent:

That's something new to me - anyone who knows something about auto-quoting willing to share?

I always figured that the big boys don't care about the overnight session before London opens since there is so little liquidity. Guess I might be wrong!
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I don't watch the overnight much, but what comes to mind is: If you don't trade then there's no one to rob. So the movement could well be the any port in a storm theory of market making. They'll take any trade, cause they figure they'll cover it cheaper somewhere from someone, real soon.

Or maybe not :D
 
There are two explanations for this one is annoying and the other is sinister. First the annoying one, people posting orders hoping to move the the market one way or the other and then canceling the orders after the legal required timelimit (I think it is two minutes but don't quote me on that one). When the market is really thin they know that that the oldest orders will get filled first so if there are 3 b and 4 ask and they want to dump some contracts they will increase the bids from a different account than the one that they are selling from. They know that by the time those 3b's get a fill they can cancel their order. Suddenly you will see 29 bid and 4 ask, it looks like the price action is going up for sure, and sadly lots of people take the bait, only to fine that demand wasn't so uneven after all. The sinster answer is that criminals out there are manipulating either the data, or the orders to prevent fills at the proper price. It would take some doing but it is something I've often wondered about as I work the night shift and follow these contracts when they are really thin. Basically when the action is really thin I don't pay attention to the B/A activity because there is so many fake orders thrown into the mix.
 
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