Institutional Buying/Selling

Go through the market microstructure section:
https://www.elitetrader.com/et/threads/elite-trader-school.360180/

 

I didn't find anything on when they have to report.

 

Within 10 seconds during normal hours. Off hours have certain cut off points.

 

I did find this;
"Each ATS is required to report to FINRA its weekly aggregate volume information on a security-by-security basis. FINRA will publish the information regarding Tier 1 NMS stocks (i.e., stocks in the S&P 500 Index, the Russell 1000 Index and certain ETPs) on a two-week delayed basis. Information on all other NMS stocks and OTC equity securities subject to FINRA trade reporting requirements will be released two weeks following the publication of information for the Tier 1 NMS stocks."
Not sure how current it is.

 

That’s different.

Here’s the link you’re looking for:
https://www.finra.org/filing-reporting/market-transparency-reporting/trade-reporting-faq

 

the OP wants to know how to determine all that with "price action" LOL

 

He also derided knowing about market microstructure in another thread but that’s ok, hopefully subsequent posts and threads will be more interesting.

 

No the OP just was curious about the process. I'm aware of dark pools and brokerage crosses. Years go I listened to Cramers rant. There are posters here who claim to have worked for hedge funds and was wondering if they could add anything.

 

This is a broad topic is called "Execution Tactics." There's a lot of techniques out there. VWAP and variants are quite popular.

Here is one example on Investopedia: an Iceberg order, a form of Hiding
https://www.investopedia.com/terms/i/icebergorder.asp

Here's a list from Algorithmic Trading & DMA (Johnson, 2014)

I. Impact-Driven Tactics
... a. Slicing
... b. Hiding

II. Price/Risk-driven Tactics
... a. Layering
... b. Pegging
... c. Catching

III. Opportunistic/Liquidity-driven tactics
... a. Seeking
... b. Sniping
... c. Routing
... d. Pairing

 

Vwap is more of a benchmark price and less of a strategy. You can run a vwap (best efforts or actual) to try to match the realized vwap but that’s not helpful if you’re moving real size as you move the benchmark.

TCA is a huge part of buy side trading and firms are constantly looking for ways to improve execution.

Example TCA report-- notice average fill size.