Time & sales question

Discussion in 'Order Execution' started by sonnyka, Dec 27, 2005.

  1. sonnyka


    Just getting to grips with some time & sales patterns, but just trying to figure out something.

    for example if say over lunchtime, MM sees some 'sell stops(shorts)' sitting below a 3 point support level & decides to work the stock down to hit them, and does so. How will these print on the t&S screen.
    Would they print at Bid(red), Ask(green) or Between(white).

    I think that the sell stops would be sitting on th 'Ask' and therefore print at the 'Ask(green)'- But not sure maybe wrong.

    Trying to learn how to spot a 'short squeeze' by the prints.

    Not got a/c set up to test it myself!

    any help would be appreciated


  2. Remember that sells are set both above and below the current price depth. It is a strong statement to make regarding the MM moving the market to these different levels up or down. If the MM is moving the market, it would mean that he would have to buy (using his own inventory) all the bids down to the price level you are mentioning. The hazard of course is that in addition to his orders, there are also other orders arriving that are being initiated by other non MM/ordinary traders participating. As a result, things becoming very complex with regard to timing and thus what you inquire about, is limited to a very illiquid asset. Additionally, the very order that may be chased can very easily be cancelled. What is an MM to do then after chasing it?

  3. As to the first post, what makes you think a MM can "see" stops?

    As to the second post, "If the MM is moving the market, it would mean that he would have to buy (using his own inventory) all the bids down to the price level you are mentioning".

    How does one move the market down by buying all the bids? Don't you mean the MM would have to SELL, ie., hit the bids down to the particular price level?
  4. Some clarification. I view the markets a little bit differently. I tend to state things from my own vantage point hence the bias. Thus my comment is assuming I was the MM. Reason being is that the BID side is the inventory of available short orders and the ask side is the inventory of available long orders. From my vantage point, I either want to buy the bid or buy the ask, (ie. a short is buying the bid, and a long is buying the ask). As a result, I would have to buy the entire inventory of available bids to remove the market depths between the target LARGE order and current market depth. I apologize for not clarifying...

    My dividing line is that all orders on LEVEL 2 are the supply of what's available for arriving orders. The arriving orders are what the market is demanding. As a result, the supply is really just two items of varying quantities and the demand is the arriving MARKET ONLY orders consuming the two supplied quantities... For me, what is currently bought (bid ticks=shorts, ask ticks=longs) comprises the total demand. What is currently being offered as seen on the DOM (BID SIZE=shorts, ASK SIZE=longs) is the supply that is continually consumed by the continual demand.

    Whether or not the MM can distinguish stops is another matter. Doing a simple google, it can be easily found that MM have a Level III screen, well assuming the MM is a specialist or has a seat on the floor. Some companies are MM simply because they have massive inventory. In any event. My experience just as an ordinary day trader is that Stop Orders appear on the DOM (ie. supply). I toyed with an illiquid stock just so that I can evaluate what appears on the DOM. Although my stop order appeared on the DOM, it would have been difficult to evaluate whether the order was a protective stop or stop to lock-in profits unless the MM was specifically tracking my individual actions. On a very illiquid stock, that is certainly possible. With a Level III information, the difference is merely the queue detail at each DOM depth. Simply put, it is easier with a Level III screen to spot large orders of what's available. What would be useful is if they could see the ASK Size at depths below the current depth and BID Size at depths above the current depth since that would give the other half of the picture that is missing from the DOM...

  5. I disagree unless you are saying that the BID side represents the pool of active orders from which one may initiate an immediate short position, with the ASK being vice versa. Otherwise, a short or a long trade can obviously be placed from either the bid or the ask.

    What? A short is always SELLING. It is never buying, unless it is to cover or closeout a pre-existing sale.

    Huh? How can anyone buy bids? Bidders are looking to buy. They have nothing to sell, unless you are referring to the order itself, in which case you are still filling that order by SELLING shares of stocks.

    Well, now your mixing NASDAQ together with NYSE. NASDAQ is obviously all electronic, and there is no specialist or floor. Further, Level III, is only a creature of NASDAQ.

    Really? So, if someone has a sell-stop 2 points below the current Best ASK, I can see that resting order on the ASK side of the DOM at that level? Or, are you saying you merely saw YOUR stop on YOUR DOM? Which if that is the case, then I think I would agree with you.
  6. As I had said before, we have different perspectives. My orientation works for me and I am sure yours works for you. How you understand the matter is how my broker explained it to me. How I adjusted my viewpoint was only a matter of removing the technicalities and given long and shorts equal footings regardless of the market I am monitoring. If I laid out the details of why this works, it would stir the usual flaming. Showing the results would only fan those flames... Perspectives/perceptions are different and that's OK...