I was just wondering if there is any algorithmic way to detect whether or not program trading has occured on a set of stocks? If a program trade is active, are there any particular characteristic about how it trades that could be filtered or detected? Thanks in advance
Exactly. My robotic traders trade different stocks all day long and I imagine thousands of others are using some kind of robotic trading, not to mention the institutional "program trading" computers. Even if robotic trading was rare, what would be the advantage of knowing that a stock was auto-traded?
i think the question refers to execution algos trading bigger buy side orders. Detecting them would give you an idea about bigger interests into one direction. It is not difficult to find them. But it is difficult to forecast when they end.
If you watch all sectors (financial, healthcare, tech, etc) during the day, you will see multiple times where ALL of the sectors run up AT THE SAME TIME, or ALL of the sectors run down AT THE SAME TIME. That is clearly done when the institutional Program Traders are doing their thing. You can also see when it ends. My traders are set up to only go long /short when the sectors all make their move up or down.
i am not sure if we are talking about the same. For example if Goldman has a big order for a fidelity fund in one symbol. they will execute it with a execution algo. If you can detect it you will know where the symbol tends to go relative to its sector. The problem is that you will see when it ends but you can only profit when you know in advance when it will end.
I used to trade in a day trading house, and we had a speaker with someone actually on the market floor. It would talk in a low-volume, monotone voice when nothing was happening. However, once in a while it would start screaming "GOLMAN'S BYING, MORGAN'S BYING", and we would all start pounding they Bye key. Nearly ALL stocks moved and it only lasted about 20-30 seconds. As soon as the selling started we would all hit the SELL (close position) key. My strategies watch all of the sectors for the big moves but if you are looking at individual stock moves, the only thing I think you can do is watch the stock's volume. When it spikes and the price is up you will know it is a large buy order.
Possibly. I just remember when that speak started squaking loudly, we just hit the F9 (for buy 1000 shares) or F10 (for short 1000 shares), and all of the stocks moved up/down at the same time. Now I do robotic trading and have them set to jump in and out when most of the stocks in the market start running up or down together.