Many times, the ask size is smaller than my trade size. I wonder how I can tell if my trade is against a hidden order of a trader on the other side or a specialist's to boost volume? I like to trade against specialist, because I know they are only in the game for short term and they have to rewind their positions later, and it will further boost my profit. On the other hand the hidden order by a trader againt my direction means somebody want to secretly unload their positions which means I may trade the wrong direction. For example, the ask size is 4000 at 9.99, and I buy 10000 shares and all done is one trade, and the 4000 size ask is still on the book, untouched. By the way, how do I enter hidden orders through special routing, or a real broker?
I have found that most folks, specialists, market makers or other traders, post only a small amount publicly. Actually I myself have switched to using reserve orders, making only 100-500 shares at most visible depending on the dollar value and also the type of equity (e.g., OTCBB has a 500 share minimum to display in the montage).
If your using level 2 its a little easier to see reserve and hidden in my opinion, but if you just have a TAS thats good enough to see if more prints are going off that size displayed. Make sure you have market center displayed on your TAS, so you can see, is the trade going through on NMS, ARCA, THRD, NYSE? Arca allows discretionary but not hidden orders, NMS has hidden which is common, NYSE and ARCA both have a lot of reserve size, and then third market you never know if nyfix millenium, auto, lava, or whatever other darkbook is around. If you pay 100% variable commission its easy to send a small test order to look for reserve or hidden.. also consider IOC orders so you dont impact the market too much if your are used to hitting bids or taking offers. (dont want to send 10000 arca to a 100 offer and have 9900 show up as the new bid on something thin)
A specialist of a floor broker have to show at least 1K size in order to put reserve size. So if you see the size less than1K you can be pretty much sure you'll hit that size (and sweep the book if your size is bigger than showed). If the current size shows more than 1K - that's a different story. One cannot tell what's reserved floor broker/specialist size is.