How come? Usually each price has lower than 10 orders. If you buy 100 orders at market, it may rise 10-20 points. However you may try to execute bit by bit to lower the impact of your oders to the market.
I've been trading this market for 10 years. That's just the way it is. Yes, you can submit a market order and knock it up 10-20 points. However, it will just come back to where it was most of the time these days. There is much hidden liquidity from all the institutions (a ton of structured products trade OTC), day traders and market makers.
Trader Henry Just curious how do you know how many orders are at each price? Do you get level 2 from IB for HSI?
I see, so you work for IB and trade at the same time. You are right. I forget to take the hidden orders into account. The institutions and market makers are not going to let a sudden spike mess up their plans. One point I would like to point out is if someone wish to fill a large order quickly at one price, HSI may not be what you want. You need to trade in larger markets where you can fill large orders easily. Anyway, I will not so stupid to throw 100 market contracts to get slaugthered. I will fill bit by bit.
You get a price ladder of the nearest 5 bids and 5 asks on your dom. One of the good things about hsi is that the gyrations give you the opportunity to fill at considerably better prices than your trigger signal. It looks wild but the "wildness" provides opportunity that you might miss in a market that moves in a simpler fashion.
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