So what exactly moves the market again? | Traders Hideout


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So what exactly moves the market again?

  #10 (permalink)

North Carolina
 
Trading Experience: Beginner
Platform: NinjaTrader, Tradestation
Favorite Futures: es
 
Posts: 644 since Nov 2011


@Revan

Consider the hypothetical

Offered Volume/Contracts @ Price
60 101
50 100

Bid Volume/Contracts @ Price
50 99
60 98

Next, let us imagine a market buy order for 55 contracts executes. 50 contracts will execute at price of 100. That would be 50 prints of "last price" 100. 5 contracts will be bought at 101. That is 5 prints at 101. In tight spread/efficient markets as soon as the 50 @ 100 is cleared then the bid would move up to 100 from 99.

But let's say it didn't. In that case, you'd have a larger spread and your offer would be 101 and bid of 99. Your last price would still be 101. If you bought 1 contract you'd get 101 and you sold 1 contract you'd get 99.

In regards to your question, remember there are always 2 prices, the bid and offer. You might want to think of 3 prices: bid, offer, and last. So the bid/offer will move when the depth is cleared yes. However, it would take at least 1 more contract to execute at the new price to generate an actual print. If you go by "last price", that is. So, when you say "move the market", yes if all the liquidity on a level is cleared then the bid or offer will move (either both will move in tandem or the spread will widen). However, it would take at least 1 more contract to trade at the new level to generate a print. For example at the lowest price of the day, your bid is going to be normally 1 tick below that. As well, at your highest price of the day your offer is 1 tick above that.


Last edited by tpredictor; May 12th, 2018 at 06:42 AM.
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