NYSE liquidity quote/effects on price improvement?

Discussion in 'Order Execution' started by cornholetrading, Mar 6, 2003.

  1. Agreed that if there was a serious tech issue one would think it would be pretty well documented by now, but the request was made not out of a trade inquiry, just a general wtf is going on, ie no need for the nyse to give an excuse. Plus there's a number of traders who have witnessed this weird price behavior particularly in the past week. And from what I understand of the liquidity quote, (which probably isn't much) it would not have the effect of prints leading the quotes. In the Bin Laden news example you gave, I'm guessing that moments after the 50 prints started going off, the offer was raised to at least 50 if not higher. Any new buys that were sent back when the offer was 27 would have been filled at 50, regardless of whether the offer was raised first, or was raised after the print.

    I'm in total agreement that it's retarded to have a centralized market like the NYSE and allow for prints to go off outside the quoted market, however I think the recent increase in such activity could be related to something else besides malicious intent.
     
    #31     Mar 8, 2003
  2. Maybe someone should explain the whole situation to the decision makers at the NYSE (I hope it's not the grinning gnome that always jumps in front of the camera as soon as he sees the red light come on).

    Please correct me if I'm wrong, but the only reason preferring the NYSE over Nasdaq (or ISLD for listed stocks) is that you sometimes get price improvement and the risk of not being able to cancel your order for sometimes several minutes is outweighted by that.

    If they make the NYSE like a "slow Nasdaq with only one MM" now, who the F is going to trade it?

    Those who can survive under such conditions will migrate to the Nasdaq, because it's faster and more competitive for the MMs, and those who need to trade listed stocks will direct their limit orders to ECNs. I would think that the occasional penny of price improvement that you get the way it is now would not be worth waiting 30 seconds or longer for a cancel confirmation.

    Anyone?
     
    #32     Mar 8, 2003
  3. I can't believe this thread isn't huge, I guess there aren't as many listed scalpers out there as I think.

    I started noticing this in the Broker stocks a week and a half ago, they are definately harder to trade now. I heard a rumor back then, that it was new specialist software that tracks the futures, probably the e-minis, and links it with their bid ask. This is what feels like is happening. the bid ask will be
    40.10 x 40.15 with size 40x45 and the minis will tick up a point and suddenly the bidask is 40.20x40.22 with size 35x50. There will be no print of the 40.15 size, he just changes the bid ask. It really makes entering stocks impossible, and then with the issue of not getting price improvememt, and prints outside the bid ask out of nowhere, which I also have noticed, it makes me think Nasdaq time, or maybe futures?

    I think the NYSE is making a big mistake, I bet if you add up all the scalping volume on the NYSE it is very significant.

    What can we do about this guys? Or how do we beat it?
     
    #33     Mar 8, 2003
  4. shneed

    shneed

    I've caught some trades on ssf's when I saw that the stock was trading above the posted offer, not sure if I would have gotten a fill on the stock, but ssf's are very fast executions. The spreads are going down. As a matter of fact after reading this thread, I am going out to buy an additional monitor just for ssf quotes.

    shneed
     
    #34     Mar 8, 2003
  5. the more participants in the markets, the better the liquidity, and, therefore, the deeper the market. driving away scalpers doesn't strike me as a strategy for the market of the new millenium. It strikes me as desperation, catering to certain special customers, and such.

    ***
    on price improvement... I find this a hilarious topic, not well suited for serious discussion. It's sort of like talking about Santa Claus, isn't it? For every dime in price improvement I've received, I've probably suffered a quarter in price deterioration (you know, theft).
     
    #35     Mar 8, 2003
  6. Don Bright
    Bright Trading

    Registered: Oct 2001
    Posts: 2685


    03-06-03 05:28 PM
    Re: don bright


    --------------------------------------------------------------------------------
    Quote from ghostrider:

    speaking of facts...

    whats your sense on the liquidity quote deal with the nyse and
    its efforts to squeeze the price improvment away from all of us???
    --------------------------------------------------------------------------------



    We are waiting to see how the whole "liquidity quote" shakes out...there are still discussions taking place regarding the interpretation. My personal feeling is that the block trades will "scoop" up the smaller orders and still give price improvement.....have to wait and see.

    Don
     
    #36     Mar 8, 2003
  7. You ask how do we beat it?

    I have been thinking about this for the last month, because I am a scalper, that is what I have always done, and what really drives me. If this continues and spreads to all NY stocks, it will drive most scalpers away.

    Lobster asked why people like NYSe besides the price improvement. I will tell you my thoughts on this. When I started trading during the tail end of the bull run, I only traded Nasdaq, because it handed out money. With the changes to decimals, supersoes, and supermontage, there is no reason for my to try to scalp it. It is now a total mess as far as even getting a market soes order within a few cents, and you cant' tell what the mm's are doing as easy because they dit around showing 100 shares all day. With ecn's offering liquidity pricing to traders, everymove is instantly clogged with people trying to get their liquidity as soon as a move starts, and several other things turned me off of Nasdaq. The final one was that with the vast majority of scalpable nasdaqs being in the teen and 20 buck ranges, there are not decent ranges.

    Nyse provide stocks with good ranges because they are higher priced. You only have to watch one "marketmaker" instead of concentrating on 50 MM's and 6 ecn's on what they are all doing. There are usually good spreads to scalp in between, more similar to Nasdaq in fractions where you could slice in between the 1/16's to get to front of line, by giving up a bit of price. And up until the last few months, I would get regulat, almost daily, price improvements of 10 cents to even a dollar on certain big moves, where the specialist would just for a dollar or two, you offer in low and get put in the big print with all the markets. Yes, two minute cancels do suck, but 95% of the time, I get a cancel within 5 seconds, and I can live with that.

    If they take away price improvement, it will turn many scalpers away. That is the biggest turn on to me of NY stocks. And not getting it as regularly has made it a lot harder for me to make money the last month.

    Dalegrief brings up the option of futures. If I have to learn to position trade, that is where I will do it, because there is no reason to trade stocks, IMHO, if you are a position trader, because you get the same chart set-ups and large trends in futures, for 20% of the cost to trade. And you could free yourself from these idiotic stock firm owners who make way too much money off of all of us. And you could sit in your home with a cable modem and trade, from anywhere in the US or abroad. Sounds tempting to me, but I still like to scalp and that is what I will continue to do until I can't make any money doing so.
     
    #37     Mar 8, 2003
  8. i am starting to see this now too, the quote remains the same i.e. 25.05 x 25.10 1x1 and you see several prints outside the market, in any event its not the same as it used to be...seems liek sometimes you still get the improvement but the specialist has more leeway to "screw you"
     
    #38     Mar 8, 2003
  9. Sorry to hear that, but you are obviously not a scalper. At least not a very good one.
     
    #39     Mar 8, 2003
  10. cornholetrading and the rest of you guys have put together a great thread here. Heres the pooh as I see it....

    I execute 3000-4000 orders a month trading 1 listid stock and feel GOOD going forward. Even if they take improvment away and try to screw us in other ways, The listid arena will still be the place for me because there is still a whole bunch of institutional business with the majority being controlled by one individual, not to mention the institutions (if they ever decide to get off their laurals) will be back to play ball soon and we will all bank dough.

    Fridays pop on the news was like a trial run for all of us, GET READY, the real volatility will be catching up to the implied soon. On the pullback after the news friday, do you know where and why we held there? Make sure you know going forward because
    Unleashed movement is coming soon........... are you ready?

    If not...... get there
     
    #40     Mar 8, 2003