"Seems to me like plenty of $50-100 stocks during the day move more than 25 cents within a 30 second timeframe. Am I missing something?" Yeah, you are missing the fact that a $50 to $100 stock would need to move $0.50 - $0.75 to trigger an LRP
Not a stock that does 4million+. Take XOM for example. Unless I'm reading that chart incorrectly. And stocks like MS or LEH ($25-50) seem like they'll make more than a 25 cent move in 30 seconds.
Remember though, if halfway through that period the LRPs are re-calibrated, the move won't trigger an LRP. The move must occur during an arbitrary thirty second interval, not "any" thirty second interval.
I gotta' say - I can't see how this affects trading much. For example, Friday afternoon (Fri 3/7/08) there was some news that the CEO of AMBAC bought a bunch of shares at $6.75. This sent Citigroup (C), the stock I was currently following, up over 34 cents in about 3 minutes. Then it drops back 25 cents or more, only to wail back up 30 cents even faster I can't say I saw any evidence of the Specialist halting trading to match orders, or anything like it. The price just wailed around at high speed - yuo couldn't even follow the T&S tape with yuor eyes it was moving so fast. Finally, after about 10 minutes of this, it settled down somewhat, but was still much higher volatility and volume. I may be wrong, but I don't see how knowing anything about LRP's would've helped yuo trade this situation. NYOB, or some of you others who konw more - what do yuo think?
Understanding LRP is integral to trading/scalping the hybrid market...if you dont think so you have big problems
Fair enough - I don't try to scalp for just a few cents, but would welcome suggestions on how this understanding can be used in trading.
That one backed fired on them. When NMS came around [a little while after hybrid was implemented] the SEC added this rule that allows ECN's to declare self help on [or ignore a] market that is not routing... So when the NYSE stops routing, the ECN's take over trading and the NYSE's quote becomes irrelevant. Before that rule came to be, LRP's were getting hit a lot more often for some reason... Regarding getting the LRP info... you can get it directly from your quote provider, many software packages allow you to "color it" on your level2 screen.
Yes you can just trade on ECNs, but the specialist is still matching orders on New York... there are opportunities there, algos can over react and then panic... craziness... gotta watch that NYS print from the specialist, too, it gives information.
Sounds like LRPs weren't triggered, or when they were, you just saw the ECN prints going haywire and didn't pay attention to NYSE. If you had an idea of what was going on it might have been possible to have quickly submitted orders to the specialist where you would be joining him in matching any imbalance. You can get a better, or worse, price than ECNs, depending on many factors, but the fact that there can be opportunities for price improvement is why it's imperative for short term hybrid traders to be aware of LRPs.
Well, I have eSignal and have the T&S window set to see all the prints - NMS, NYSE, PSE, etc. It traded like crazy on all of them, with bids/offers coming from all as well. Forgive me for being slow here, but how, if the LRPs are calculated evey 30 seconds from any starting point, can one keep track of this, and then make use of it?? Eusdaki has said some platforms will highlight LRP's, but even if that's the case, they're constantly changing, so aren't yuo constantly shooting at a moving target? Thanks for yuor patience and help, guys!