You could probably gauge that by looking at the volume. Right now the ES is at ~900K. If you were to place a 600-lot market order now? THAT could move the instrument a bit, but the gap would be filled in quite quickly, back to where it was. Remember, during the day, the dog wags the tail. (ES goes where SP goes.) At night it is reversed and the tail wags the dog, (SP will go where ES is after the night-time action), because there's just the ES. Your 600-lot market order would totally whack the book and you'd see it for sure after 6PM ET. The more the merrier.
Look at some of this stuff here Chris. Just scrolled through the charts today and on these 1 second bars, you see two huge bars, each 3 points at least, so 12 ticks. It took roughly 4000 contracts to push it down in 1 second, hence clearing out all the bids. Maybe on a micro time frame, there was a bit more back and forth trading on the micro second level, but it only took 4000 contracts to move price 3 points. I've studied these quite a bit, but its for the machines to trade them. Us traders just get flushed out if stops are too tight. Its interesting how they did it twice, and then price rallied anyway. I'm sure there is an edge to explore there. (Ps. 4420 was the previous day close, so it makes sense for price to turn there) Anyway... chat later... gotta go to work.
So I'm sure now that we have solved the Bid/Ask quantity issue, this comment that you made above has taken on a whole new meaning, but I was curious to see if anyone would like to have a discussion about it. Obviously, if you initially thought that there were thousands of resting bids and offers at each tick level, then a 600 contract order would represent about 10 or 20% of the whole depth. This would be the equivalent of 6 or 10 contracts, instead of 600, since we are now dealing with a factor of 100 smaller. Clearly, someone posting 6 extra contracts onto any level will not make a difference, but if the size that you guys were actually showing was 600, this is what it would look like for us guys who chart this graphically. There is this software called BookMap, that charts this nicely, but Sierra Charts does this as well. This is a chart of today, and I set it to only show values above 300 contracts for each price level. The colors go from yellow to orange to red, and represent 300, 500, or over 700 contracts. What's interesting here is that there were already heavy buy orders during the overnight session. At 9am, still before the open, another heavy Bid came in at 4409.25 and stayed until it was filled at 13:42. They teach this as if these levels are magnets to both attract price, but also as levels where price rejects. What I have found, just like anything in trading, is that its 50/50. Sometimes price rejects the level, and sometimes it breaks through like a hot knife through butter. We can see above that there was an initial rejection as it got close, but eventually it broke hard after this was filled, and the selling continued. If I zoom into what happened when it broke, we get this. The second before it broke, it looks like there were 1,880 contracts on the bid. That 1 second bar that broke it and took all that liquidity was over 4000 contracts traded. So we know it was the 1.8k contracts on the bid that filled, and other small resting orders, but certainly there was way more happening in that 1 second in order for the volume to get to 4000. (most trades don't happen from the liquidity that is shown) But my whole point with this post is this. I scrolled around looking for other interesting things and found this. Just after 9:58, we see the red bar show up. Since the price bar is below this red area, this red area is a big order on the ASK that just showed up. These bars are 5 second bars now, so this order stayed for about 40 seconds. But just as price was coming back up to it, the order was pulled. I will show another view of this next which shows all the resting order quantities. So here we see that initially, there were only a small amount of contracts on the bid at 4425, price drops through this 4425 level, and then a huge ASK shows at 4425 of 1010 contracts. It lasts for 40 seconds and doesn't fill, and this huge order is pulled, and it goes back to showing 71 contracts on the ASK at this same price level. My whole point with all this is that if you guys are showing a buy or sell order of 600 contracts, you can damn well bet that its showing up on the radar. I also wonder if you guys are pulling orders, which I think can be thought of as spoofing, but it sounds like you are legitimately trying to get filled. Either way, a 600 lot order would be huge. Each of these 5 second bars seems to have a few hundred contracts of volume, so you can get it filled, but this is a big order to show. I really do think that anyone wanting to buy or sell 600 contracts is probably not showing this quantity. Of course these heavy bids and asks do get filled all the time, but I imagine half of the time, these orders are hedges, and hence these guys don't so much care about the direction of the market. Anyway... I'm sure you guys know all of this, so I'm mostly just writing all this out for the benefit of the forum and to see if anyone has anything interesting to share with regards to this deep analysis.
lol hedgers don’t care about direction of the market. So you’re reading intent in the order book. Hedgers are indiscriminate and will sweep the book with 600 lots? RUOK? Deep analysis.
Just my 2 cents… I am a small trader compared to the 600 contracts discussed in this thread. I daytrade metals, crude and natty and most of the time there are about 10 contracts sitting on the bid/ask. I have been using up to 10 contracts for about 2 years now and know if I use 10 contracts or less, then almost all of my fills will all be at one level on the price ladder, sometimes my entry will use 2 levels and in a few rare cases, it will use 3 levels. This way, I can keep my entry price at or within a couple of ticks from where I wanted to enter and not affect my profits. I don’t trust any levels beyond the bid and ask level, but have thought of increasing to 20 contracts and then analyzing profits to see how much slippage cuts into my profits. cheers toucan
Wow... I got the big fish replying to my post.... I'm impressed! My point is that half of the time when I see big orders, the big order "appears" to trade in the direction that the market ends up going. So a huge order on the BID does sometimes fill and cause price to go up, or sometimes it doesn't fill and price goes up simply from being front run. But the other half of the time, the huge order gets filled and all the buying doesn't stop the decline. Furthermore, the order, even though it appears big, is nothing compared to the volume that actually trades. Since algos can place trades in milliseconds, there isn't really a need to have resting orders, other then I guess if you want to influence the market in some way. You can have a 1000 lot order showing, and yet the volume on that 1 second bar is 4000 contracts, so whatever shows as the liquidity isn't even indicative of the amount of people willing to trade at that price. Conclusion is that resting orders, on their own, is a coin toss for the retail trader as to which direction the market will go. The person placing that order might have a good reason or a good strategy, but I'm not sure if it helps me put on a profitable trade.
Half the time it follows the future trend.? The other 50% of the time it's contra? The appearance of a large ticket makes the price rally (half the time), but spoofing causes the price to rally ostensibly to front run the order? You believe this (half the time)? I would say this is so 2004, but it's too incoherent to make a market analog. I don't know whether to laugh or cry. I gotta be somewhere, cya.
If you disagree with my assessment, show me how I'm wrong. Show me how a a huge order showing up, or a huge order that consistently staying in the market, provides an edge. Tell me where I should go long or short based on the liquidity shown. I'm willing to wait for when you come back... have a good day!
%% Actually i agree with that; since you said coin toss + not coin flip. IF you think they are the same you are wrong on that. [It most likely does not help you \ ; since would you know the entry point-profit + exit on that resting order ?? No , in this example.] Its not clear from that if you ever use resting orders= that's none of my business anyway; I do sometimes , because plenty of times the market is more like a Fed note toss or coin toss than coin flip Edit /thanks