What, in your opinion, is the best way to find hidden liquidity off of the ECNs? I am talking about big hidden size. I know of the dark books and such, but I am talking about determining when an order is hiding more size, or patterns that help indicate when hidden size is available for a stock from a large buyer or seller. I would love peoples ideas and opinions. Thanks
Right, but I am thinking beyond the tape: 100 share order patterns? 1000 share order patterns ? 100 share pings?
Use 100 shares and see where it prints and what is the very next quote is. You have to have a very good unfiltered true tick-by-tick market feed to spot that, otherwise you may think you see refresh where in fact it's an algo. On NYSE: Code: reserve liquidity: 50.00 x 50.25 2 x 3 50.00 x 50.25 2 x 3 3s50.25 an algo: 50.00 x 50.25 2 x 3 50.00 x 50.26 2 x 1 50.00 x 50.25 2 x 3 3s50.25 And pretty much every market center is different.
So are you sending 100 lot marketable limits to the book in this scenario? I can understand that portion and seeing if share size stays the same after your execution, but I didn't follow some of it.
In the case when you have reserve liquidity the very next quote would come with the same size or what left. So you shoot 100, 300, or 1k buy order and you see that the offer just got refreshed, no change in price/size on the offer. If there is no reserve liquidity, you'll take the offer or a portion of it, and the execution system will post the new size on offer, or the next level on the book if you took it all (as in the second example). Meanwhile, a working algo will get a fill on your order and post a new offer (possibly with the same size), so it would look like a refresh to an untrained eye. Remember, almost all market centers have separate quote and trade feeds, so you literally have to deduce what happened in the past on the tape at such detailed level.
Right, that makes sense. I then question how the darkbook algos do it? It must be in the same fashion.