Platform: "I trade, therefore, I AM!"; Theme Song: "Atomic Dog!"
Favorite Futures: EMD, 6J, ZB
Posts: 798 since Oct 2009
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if we speed up the conversation, and
provide a relevant exerpt from the referenced book on how those three average pricing mechanisms are implemented, then that would be useful,
as the objective of this thread are:
1) expose the abuse wrecked upon the unfair pricing mechanisms used on ECN's
2) discuss how they are done, or we presume they are done
3) work to close the loop hole through discovery, or making it harder to unfairly price and rip off traders
so the objectives are more than just discuss the various WAP methods (no pun intended)
under normal conditions, the ECN books (using T&S with the cummulative option chosen) would show hundreds of resting orders waiting to buy at their chosen limits, and similar selling orders from the scalpers at their chosen limits
however, on a day like today, with the hundreds of contracts traded on the TF, ES, 6E, NQ, YM, CL, QM, ZB, ZN, ZS, SI, and other popular emini's, you saw thin order books.
even ninja offers the feature of keeping your intended order server side and off the public book,
the question of this thread continues is how do the (so called) big boys do it?, and whether or not there is another level of customer that the exchanges offer to these large traders, giving them features that regular customers don't have access to?
I'm not sure about the emini's, but here's what I did with other products. if I had a large seller, I would try to find a buyer, then negotiate a price and report it to the exchange. that way it never showed up in any order book, just volume (T&S).
another example (again not sure about emini's) is big broker houses compensating in house buying and selling. they still have to report it, but again no activity in the "books".
this is quite intersting... I thought for the most part very large oders have to be reported to the exchange 5 mins. before execution....dark pools I have no idea. I think dealing directly with a buyer or seller is one good way to get a good price without slippage or moving price too much against me.
I've been trying to learn to catch iceberg orders and rotators. Is anyone good as catching them? If someone could post a video from their dome...or do you see it from t&s?
but at the same time, IF I had lots of orders to fill, I'd just try to accelerate the market to the stops and reverse.
I've spent a little bit of time watching t&s "above ask" abd "below bid" prices print. Anyone observed much from that?
I believe this is considered dark liquidity pools. I'm not sure what the maximum time is that they must report it to the exchange, but it is obviously a big enough delay to provide an enormous advantage.
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