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

  #21 (permalink)
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lsubeano View Post
I've spent a little bit of time watching t&s "above ask" abd "below bid" prices print. Anyone observed much from that?

From what I've gathered, these prints just mean that ninjatrader or the feed ninjatrader is using got a little behind in adjusting the midpoint by which it calculates whether trades are above or below the ask. So these "above ask" and "below bid" prints are not really above ask or below bid, they just came in too quickly to be counted correctly.

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  #22 (permalink)
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GoldStandard View Post
From what I've gathered, these prints just mean that ninjatrader or the feed ninjatrader is using got a little behind in adjusting the midpoint by which it calculates whether trades are above or below the ask. So these "above ask" and "below bid" prints are not really above ask or below bid, they just came in too quickly to be counted correctly.

I agree. This will happen more/less depending on your data feed.


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  #23 (permalink)
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Thank you Mike and Gold for you thoughts.
shucks....I thought I was on to something....haha

The best I understand, when large traders and market movers want to move a market up or down, I'm assuming they're hitting the ask to move it up and selling the bid to move it lower, so I'm trying to learn to observe their patterns of when they're trying to run the orders.

That's my same thought with the iceberg orders....if someone is hiding orders thru their order, the market may move for a quick scalp.

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  #24 (permalink)
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kronie View Post
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

Real People Say "Screw You" To The Markets in [Market-Ticker]

add to that this article and yesterday's DJIA +254 out of thin aire

2010's Post-Jackson Hole No Volume Levitation Has Begun: ES Volume 50%+ Below Average | ZeroHedge

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  #25 (permalink)
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institutional data feed shows spikes clearly

Time and Sales outside of the exchange is not as accurate as one would think. What ninjatrader is printing is very old by the time it shows on the screen, so that is where the above / below bid / ask is printing.
The algos in the exchange are also working spreads, so what we see on Time and Sales is merely delayed a majority of the time, especially when the spread tightens.
I did a trial of an institutional data feed for a vendor back in 2009, and it showed what was going on inside the exchange very clearly. The downside is that a large portion of the volume never leaves the exchange, it is picked up by the algorithmic traders. The large contracts are held while an equivalent amount in an emini is picked up for a position and sized, then depending upon when rollover is, is either broken up again, moved onto another order segment, or simply priced into the new contract. The resizing is arbitrary from what I can tell, but that is when the price swings on light volume usually occured, especially on the e-mini's. I am not so conspiratorially-minded after watching the order flow after that...
Hope that helps,

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