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Sweeping the book, ECN style....
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Sweeping the book, ECN style....

  #11 (permalink)
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  #12 (permalink)
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GoldStandard View Post
Just a guess, but perhaps in the situation you're describing there were both large buy and large sell orders for those lower prices waiting off the published book which only matched each other once price traded to that level?

is this a statement?, a question?, which?

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traderwerks View Post
I think you are talking about iceberg orders. That certainly would not be 'sweeping the book'.

And it is a LIMIT order book.

please take time to explain both terms

Iceberg...

Limit Order book, and which exchange uses or offers it and how it differs from the (so called) standard Globex book

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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)

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today, we had a +322 DJIA move

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?

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kronie View Post
today, we had a +322 DJIA move

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".

then of course you have the iceberg orders.

all those examples will create volume, but not visible in the order books (except of course the amount you want to show with the iceberg orders).

but again, this is not sweeping the book, just creating volume not seen in order books.

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kronie View Post

even ninja offers the feature of keeping your intended order server side and off the public book,

No. Ninja only talks to your brokers API.

Math. A gateway drug to reality.
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  #18 (permalink)
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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?

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Silvester17 View Post
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).

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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thin book conditions are rife for abuse

sweeping the book becomes second suspect to these conditions,

hope they keep this article posted on this link for quite some time.


remember, when we speak of fat books, we all think of the ES


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