Why does this happen ? Please help

[kmiklas]

I'm not sure where you get your understanding of TCA and implementation shortfall from. I was a desk trader and no one was using algos to paint head and shoulders to improve TCA or IS lol. For most large trades, a trader will seek non-exchange liquidity before lighting up.

If you were a desk trader, I assume you didn't code, do quant work, or write algos, correct? High-touch and low-touch are two different worlds.

Also, find below a couple examples of TCA and IS, from an algo perspective. A little light reading XD.

Ref:

 

[longandshort]

If you were a desk trader, I assume you didn't code, do quant work, or write algos, correct? High-touch and low-touch are two different worlds.

Also, find below a couple examples of TCA and IS, from an algo perspective.

That has nothing to do with what you said. I've read numerous books on algo's because knowing how and when to implement them was key to my role.

Here is a good example of a real bank algo that investors use: Market Structure (credit-suisse.com)

 

[kmiklas]

That has nothing to do with what you said. I've read numerous books on algo's because knowing how and when to implement them was key to my role.

Here is a good example of a real bank algo that investors use: Market Structure (credit-suisse.com)

Good post... will read when I get home.

I'm not sure that we disagree... what is your point?

The OP asked for an explanation as to why the sharp spikes and plunges occur. I've offered a VWAP variant as an answer... what is your position?

 

[longandshort]

Good post... will read when I get home.

I'm not sure that we disagree... what is your point?

The OP asked for an explanation as to why the sharp spikes and plunges occur. I've offered a VWAP variant as an answer... what is your position?

I'm being pedantic:

A VWAP algo is going to take a % of volume with the goal of minimizing impact. If you can eye-ball the algo then it's a shitty one indeed lol. No one really uses TWAPs anymore, but it is another useful benchmark.

If a stock was dominated by algos, we would see price as a straight line and volume constant. My point: trading algos are designed to minimize impact for buyers. HFT algos are designed to fill orders for market makers. There are other random/retail algos out there I'm sure, but I don't believe their market impact is high.

 

[kmiklas]

I'm being pedantic:
View attachment 262793

A VWAP algo is going to take a % of volume with the goal of minimizing impact. If you can eye-ball the algo then it's a shitty one indeed lol. No one really uses TWAPs anymore, but it is another useful benchmark.

If a stock was dominated by algos, we would see price as a straight line and volume constant. My point: trading algos are designed to minimize impact for buyers. HFT algos are designed to fill orders for market makers. There are other random/retail algos out there I'm sure, but I don't believe their market impact is high.

Ah; ok we sort of agree then. I think that it is a "shitty" algo; one that shows its hand. Perhaps one offered cheaply or free by a discount broker. Other points solid, and I agree.

 

[easymon1]

Evenly-spaced sharp spikes and plunges,

After all that, to me, it still looks like a Basic, easily benchmarked Tripple Top, 3 Falling Methods at resistance continuation pattern down to prior support that any TA PA trader could have entered via two separate setup triggers.
Wha's not to like? Algo Algo, RUNNNN. lol

 

[cashclay]

This is a rather poor answer coming from a pro in my opinion. For every transaction, there is a buyer and a seller. Their motivations might be different, and that is what creates the sudden moves, but it doesn't change the fact that for someone to want to sell, someone has to buy, and vice versa.

Yes that's what I'm thinking as well... So if that's the case a buyer and a seller present how could the price just drop like that ?
That's what's confusing me.
is that the it's just the buyers are rapidly buying the lower bid price of sellers?
Or is it stop losses being executed ?

 

[easymon1]

how could the price just drop like that ?

Honey badger, he don't care.
Tripple Top, breakout below neckline, and so on in that fashion.

but if you do, then the internet and finance courses are replete with musings on suchlike.

https://www.investopedia.com/articles/basics/04/100804.asp
Forces That Move Stock Prices

"Unfortunately, there is no clean equation that tells us exactly how a stock price will behave."

Well, ain't that a hell of a note.

How dare those prices move like that...

Again,
Honey badger, he don't care.
Tripple Top, breakout below neckline, and so on in that fashion.

How many angels can dance on the head of a pin?
How much wood can a wood chuck chuck?

Again,
Honey badger, he don't care.

 

[notagain]

Sellers looking to get out. Sellers will bid up the price to attract buyers and then dump all their shares.

 

[easymon1]

Tom O'Brien has a saying..."They try to knock the top out of it. If they can't, then they turn around and try to knock the bottom out of it." He does use a comparison, he's a volume guy, where he says "It's like a department ten story department store, if price goes up to the 6th floor and there are no people, then that support won't hold and they go back down to the 5th floor. If there's nobody there, then they go to the 4th floor.
By that homespun tale, the chart above found action on the floor, knocked the top out of it, looked around saw no people there, so went down a floor, nobody home, down another floor.

Still looks like a tripple top to me. lol.