Big Block Trade Alerts

Discussion in 'Educational Resources' started by SocalTrader, Feb 22, 2003.

  1. Usually I would keep this under the Alerts Q and A thread but it turned out to be so interesting I am writing a separate thread.

    We just implemented our block trade alert. This was really done at the request of our institutional customers. From the requirements we received, this alert was intended to be used to gauge when to place similar type orders.

    It turned out to be something VERY interesting for the non institutional user observing.

    Our lab in San Diego was running normal test routines combining the block trade alert with other filters etc. An alert window was set to watch for prints over 100K and added the filter for stocks only trading at 40% above average for any given time of day.

    Here is what we saw. The futures had made a complete retracement of the upmove when rumors of the Staten Island refinery accident started to hit the street. The futures were making new lows as there was talk of terrorism, shorts were pressing their bets.

    Then all of a sudden our block alerts window started to pick up.
    As futures were just hovering on lows, big block for 100K+ started to come through at a rate higher then usual based on our testing. It looked like the institutions who are high on the information food chain had word that it was not a terrorist attack and were placing their bets.

    Of course the market ran to new highs and closed right around there.

    Please forgive the (sexist) metaphor but we felt like we were peeking into the girls locker shower in that scene in Porkys.

    We will continue to test this alert, but the results friday were VERY interesting indeed. Users sent us emails noticing the same pattern. While we are firm believers that there is no holy grail, an edge that can be exploited is an advantage.

    Enjoy the weekend!
  2. are you watching nyse or whole market?
  3. For this block alert or any other we give users the option to watch alerts on any one exchange, all of them, or a stock list.

    On Frinday I had two alert windows, one watching NYSE and the other NASAQ.