superjump bid/ask

F

fandelem

hey all,

sometimes when the US reports come out at 8:30, the market seems to "skip a beat". in other words, the bid/ask jump within the same second sometimes 5, 10, 20 pips.

Okay, so those who understand that part, I have a question for you:

Let's say we're talking EUR/USD.. and it goes like:

bid: 1.3016 ask: 1.3017 last: 1.3017
bid: 1.3016 ask: 1.3017 last: 1.3033
bid: 1.3033 ask: 1.3034 last: 1.3033
bid: 1.3026 ask: 1.3034 last: 1.3033

If I put a BUY LIMIT at 1.3017 and a profit target (BUY LIMIT) at 1.3020, before the above happens.

What actually happens? The 1.3017 will be already filled. But what about the 1.3020 in the jump to 1.3033-- will it not get filled at all ? I have a suspicion it will on the way up. I just haven't dealt at this close proximity to fills before to know what goes on :>
 
It depends on when the '20 sell order gets submitted to the market.

If the bid is already above '20, you get filled at the bid (or whatever it is after orders submitted ahead of you finish hitting the bid, assuming it stays at or above '20).

If the bid is still '16 when you submit your order, you'll get filled at '20 as the bid sweeps the book up to '33 (and miss most of the move :) ).

BTW, I don't think you can get:

bid: 1.3016 ask: 1.3017 last: 1.3033

in an electronic market (or any market that follows the "quote, then print" paradigm) if your trading platform sequences things correctly. The offer should move up as each offer is taken out, followed by prints at each level, or prints all at once, depending on the market and platform.

BTW, has anyone noticed that INET seems to print sweeps in reverse order (i.e. high prices before low prices for a buy order that sweeps the book)? Does this seem wrong?
 
It was late last night so I forgot what date I was giving you an example of.. but I can give you countless examples:

I found a reverse of what I posted originally. Here is 2005-04-20 08:29:56 EST (all within 1 second)

bid: 1.3065 ask: 1.3066 last: 1.3064
bid: 1.3065 ask: 1.3066 last: 1.3061
bid: 1.3065 ask: 1.3066 last: 1.3049
bid: 1.3048 ask: 1.3066 last: 1.3049
bid: 1.3048 ask: 1.3052 last: 1.3049
bid: 1.3048 ask: 1.3052 last: 1.3052


So, the answer to my question would be: Yes. I would get filled at '20 (and yes, miss most of the move), on the way up, providing the order was submitted before the move.


I have another question, though I don't know if anyone here would know: How many seconds on IB's API does the entire placeOrder->orderStatus=Filled take? Is it sub-second (providing the market accepts the order)


edit: I found the orignial example..

2005-04-12 08:30:01 EST
...9 previous ticks within :01...
bid: 1.3016 ask: 1.3017 last: 1.3024
bid: 1.3016 ask: 1.3017 last: 1.3027
2005-04-12 08:30:02 EST
bid: 1.3016 ask: 1.3017 last: 1.3030
bid: 1.3028 ask: 1.3017 last: 1.3030
bid: 1.3028 ask: 1.3030 last: 1.3030
 
You must log in or register to reply here.
Back
Top