Price, Vol. How many Contracts?

Discussion in 'Index Futures' started by UnderGround, Jan 17, 2006.

  1. Just curious if someone can help me out or point me in the right direction. I was having a debate with a few friends and need a mathematical equation (model) to prove the below question. I think it has something to do with volume and liquidly but I’m not sure how to calculate it mathematically.


    Simple said if you purchased into the prevailing trend how many contracts would you need to purchase in a lot to help push, move, coax the price? I’m not saying moving the market or causing a huge price change I’m just wondering what it takes to cause a minor price change? For example using the E-mini Russell say you enter the market long at 704.3 how many contracts would you need to purchase to move the market 0.1 or 0.2 ticks above 704.3 to 704.4-704.6 for a short period of time say seconds to a minute? 500 contracts? 5000 contracts? 50,000 contracts at a time?
  2. The market doesn't work the way you think it does.
  3. Whatever is on the ask
    buy up whatever is on the ask, each time you eat up the supply it'll go up a tick

    not everybody puts order on limit though
  4. frugi


    Coaxing isn't really an applicable description. A trade of any size can move the market, or not. Every trade down to a 1 lot will affect the market.

    You also need to be clear as to what you mean by move the market: a change in last traded price or simply a rise/fall in the best bid or offer? (The latter can of course occur without any trades taking place).

    Assuming the last trade occured at the bid price then buying just 1 lot on the ask will raise the last traded price by a tick. But the bid/ask will remain the same, as long as there was >1 lot on the ask.

    Then imagine you buy every lot on the ask. The last traded price will remain the same (2 consecutive trades at the ask), but the bid/ask will change from say 9999-10000 to 9999-10001. If someone then chooses to bid 10000 then both the bid and ask will have increased by a tick.

    Sorry if that facile description is deeply patronising, but I suspect you may be trying to apply a mathematical theory where it isn't welcome. :)

    I suppose you could look at the total number of lots traded between the low and high of a chosen up trend, and then work out the average number of lots traded per price level, but that is unlikely to serve you well when the next trend comes along and the participation levels are different.

    Sorry not much help am I :confused:
  5. There really are to many variables to give a definite answer to your question. Such as time of day, how many bulls or bears will jump in if you jump start the movement, trend. I only trade Ym and I have seen my little 10 lot on the bid move it from 0 to 10 ticks depending on how nervous the shorts were. This is why I never offer or bid with a limit, if I want in I hit the bid or ask but never show my hand ahead of time. I have also seen 200-300 contracts only move it a tick or 2 and then later that same 200-300 move it 10-15 ticks.
  6. Ok I'm missing some key points I thought it would be something simple like this:

    if you want the ask price to increase by 1 tick, then

    Contracts Required = Current Ask Volume

    by two ticks

    Contracts Required = Current Ask Volume + (Current Ask Price - 1 Tick) Volume

    It was just a thought about price spikes moves which seem to cause a rally - the thought was how much money would one need to throw into a trend that was already forming or defined to increase the price by a 01. tick or 0.2 ticks because I'm sure it can be done but the question is you would need a ton of captial to do it. I was saying if you purchased say 5,000 or maybe 50,000 contracts at once, would cause a price spike increase (or decrease depending which side you are on). But I seem to be way of.
  7. ================

    think Volente has prety good understanding;
    you also may learn about marketing green & red apples price/volume by observing over the years.

    Again its probabilities more than predicion.:cool: