Rationalize
Registered: Jan 2010
Posts: 774 |
02-09-12 03:40 AM
Quote from WinstonTJ:
Not really - it won't trade through you unless there is size to fill your order. It can't***
***It can technically however with price improvement and inter-exchange arbs someone will usually pick you up before it prints higher elsewhere.
Let's say I'm looking to buy GOOG at $600.00 so I place a GTC bid to buy 1,000,000 shares (yeah one million) at $600.00.
Why would GOOG trade $599 before my lot is filled?
Conversely, if I'm offering 1,000,000 shares of GOOG at $625 (offering out to sell short) why would it trade through to $626 before my lot is filled?
In both cases anyone buying would want the lower price and anyone selling would be above the NBO and outside the market.
Just saying the order that crossed the spread and consumed whatever's in front of you may not be big enough to fill you entirely. So seeing price trade through your price in historical data may not imply you would have been filled entirely.
"Let's say I'm looking to buy GOOG at $600.00 so I place a GTC bid to buy 1,000,000 shares (yeah one million) at $600.00.
Why would GOOG trade $599 before my lot is filled?"
It wouldn't. But your big-ass bid size might stop price from getting down to 599.
I'm sure you know this .. but, it's hard to accurately test multi-lot liquidity providing strategies.
1 lots crossing the spread .. easy.
|
