The Bid size and the ask size

Discussion in 'Order Execution' started by Sky123987, Dec 17, 2007.

  1. No it's not (repeating this for the second time). Please, do the research.

    As the part of the NBBO feed you get the exchange codes that posted NBBO: bid, ask or both counterparts. It's your particular feed provider that calculates and gives you cumulative size for NBBO, which maybe actually bad for you.
     
    #11     Dec 18, 2007
  2. OK, yes, NBBO is simply what it says within NMS rules. "National Best Bid/Offer."

    But, if you guys click above, you'll see how we can both post and take better prices by using our Smart Router (Sigma) which "sees" the orders in between the NBBO bid and offer. This makes it more difficult to "know" exact number of shares at any price. For the most part, between NYOB and ARCA depth of book, you'll see more than you need for listed, and substitute Level 2 for NYOB for Nasdaq stocks.

    Don
     
    #12     Dec 18, 2007
  3. I am not even sure why it matters.

    Since "hidden" quantites are allowed, its nearly impossible to "read" supply and demand on LVL II..

    I pretty much just look at lvl II to get an instant feel for how a stock trades..
     
    #13     Dec 18, 2007
  4. andread

    andread

    That's a good idea. Anything to recommend?
     
    #14     Dec 24, 2007