A math kinda ?

Discussion in 'Trading' started by Sky123987, Jun 24, 2008.

  1. Stock is priced @ 30 and does 1,000,000 shares per day.

    If you place a buy market order for 1000 shares @ what price do you drive the stock up to? Assuming had you not entered the order the close would have been 30.

    Basically I'm looking for an equation having parameters: Price, Avg Daily Volume, and Order Price(and I know this is difficult) for how much you affect the price of the stock

  2. trom


    Impossible to answer without knowing the order book.

    Some stocks that do less than a thousand shares/day have 20k on both the bid and the offer with a 5 cent spread all day long. Some stocks that do multiple millions/day might require you to pay 50-60 cents to fill 1000 at the market.
  3. Liquidity tends to be deepest during the first and last hour of the trading day. Mid-day could experience more slippage.
  4. The attached is used to make money using volume as a leading indicator of price. It incorporates the variables you require in the form of a look up table.

    It was derived on the basis of choosing a particular type Univese of stocks. The Universe is a QA function that helps make the trading cycle very reliable.

    Stocks that trade in the 1M a day range show T&S streaming data whereby 1K blocks are quite common during the day. As a matter of fact 3K blocks would probably represent the top of the commonly occurring block sizes.

    As you can see by the 30 minute period distribution at the bottom of the attachment, any maths you wanted to generate would have to take into account the time of day.

    For making money position trading equties, there is a nice lag of price with respect to volume. It must be considered as well.

    The columns on the chart are color coded by the rules shown.

    For QA sorted Universes within certain float ranges, you get high Beta (3+) Universes. Having this selection and the natural cycle they follow gives you a continuing profit cycle for capital.

    And optimum position trading operation of many (4 or more) streams distribution of all capital among them, will give you 100 turns a year of capital and, for each turn, an average of 10%.

    The data on the chart is from long term practical experience applying the above. Over the last 50 years and the attendant market conditions, not much has changed except that the natural cycle has shortened. The long/short time ratio of the cycle follows a power law. The short part is faster and the ratio is 27/8 for time long/short for the same move (about 20% in 6 to 8 days originally) for the suggested Universe.
  5. Absolutely no way in the world to know anything like this, regardless of what other's may say.

    This is a marketplace, and much like any other free-market, you have buyers and sellers with different agendas, different hedges, and perhaps a 100,000 shares or more of "iceburg" orders that don't show up in NYOB or Level 2.

    Our traders are taught to watch the actual trades, not just the number of shares being bid for or offered. This way they can tell if there are hidden orders, or trades from the "dark pools" - check here if you like; http://www.redi.com/forms/algo720.pdf

    You may actually get price improvement from NBBO based on proper routing (SigmaX in our case).

    All the best,