Sweeping the book, ECN style.... - Commodities Futures Trading | futures io social day trading
futures io futures trading


Sweeping the book, ECN style....
Updated: Views / Replies:6,880 / 24
Created: by kronie Attachments:0

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 
Thread Tools Search this Thread
 

Sweeping the book, ECN style....

  #1 (permalink)
Banned: trolling
NYC + NY / USA
 
Futures Experience: Advanced
Platform: "I trade, therefore, I AM!"; Theme Song: "Atomic Dog!"
Favorite Futures: EMD, 6J, ZB
 
kronie's Avatar
 
Posts: 798 since Oct 2009
Thanks: 216 given, 498 received

Sweeping the book, ECN style....

Sweeping the book, ECN style

this concept by its very discussion and definition is supposed to be impossible, given the structure and nature of the ECN and how it claims to do order matching and allocation,

however,

we as experienced traders, having seen T&S run the handles like a finely tuned piano being played, know better.

So, how is it done?

we can only post theories, and hopefully by shedding light to the subject reveal an exploited weakness that has been the bane of the industry and sophisticated retail traders. That's what category we futures.io (formerly BMT)'ers fall into.

ok, here's the script, in simple scenario terms:

A) a position trader, hedge, fund, etc wants in big on an Emini that it expects to move, and also react to its pending order being placed.

B) that trader intends to go long into an anticipated upturn that's beginning to form
C) that trader, using ES as an objective sampling, wants to enter 1,200 cars at 1,200.00 and sweep the book hoping for partial fills lower than his maximum price of 1,200.00
D) trader hopes to fill and sweep the entire Bid from 1,200.00 through 1,198.50 and each handle in between, until a total position of 1,200 cars is reached.

how would he do that?, in detail?
how or which handle would he put the order in at?
how does he attain price improvement (stock trading term used by Specialists, if possible)
how does he enter that quantity, without breaking it up or using some software routing algorythm?

(as before, please, only serious responses)

Reply With Quote
 
  #2 (permalink)
Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.

 
  #3 (permalink)
 Vendor: www.traderwerks.com 
Taipei Taiwan
 
Futures Experience: Advanced
Platform: NinjaTrader
Broker/Data: Optimus
Favorite Futures: TW
 
Posts: 693 since Jun 2009
Thanks: 440 given, 440 received



kronie View Post
Sweeping the book, ECN style

ok, here's the script, in simple scenario terms:

A) a position trader, hedge, fund, etc wants in big on an Emini that it expects to move, and also react to its pending order being placed.

B) that trader intends to go long into an anticipated upturn that's beginning to form
C) that trader, using ES as an objective sampling, wants to enter 1,200 cars at 1,200.00 and sweep the book hoping for partial fills lower than his maximum price of 1,200.00
D) trader hopes to fill and sweep the entire Bid from 1,200.00 through 1,198.50 and each handle in between, until a total position of 1,200 cars is reached.

how would he do that?, in detail?
how or which handle would he put the order in at?
how does he attain price improvement (stock trading term used by Specialists, if possible)
how does he enter that quantity, without breaking it up or using some software routing algorythm?

(as before, please, only serious responses)

I followed you up until D)

If you want to sweep the book to get long, you would be sweeping the ask so the price would move up.

Math. A gateway drug to reality.
Reply With Quote
 
  #4 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,240 since Jun 2009
Thanks: 29,353 given, 83,234 received

What if you are long, but know that say 20 ticks down there likely resides a large number of long stops, say at a major price level or recent swing low, etc etc.

I could see a sweep action to push price down rapidly to take the level out, followed by a lot of buying to move it back in your favor and build your position (at a possibly slightly improved price).

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
 
  #5 (permalink)
Banned: trolling
NYC + NY / USA
 
Futures Experience: Advanced
Platform: "I trade, therefore, I AM!"; Theme Song: "Atomic Dog!"
Favorite Futures: EMD, 6J, ZB
 
kronie's Avatar
 
Posts: 798 since Oct 2009
Thanks: 216 given, 498 received

careful

ever hit the Ask (right side of the dome) and think you were going long?

the understanding that the 2 respondents have, are the essence of the confusion over the term "sweeping the book", iow, it defies description,

hence, my description:

A) I want to purchase roughly 16times the average daily volume (during the 9:30am - 10:30am range) that trades in one order, without resorting to some order splitting mechanism

B) I want price improvements by buying at the current and all lower levels until my quantity is filled, thus removing inventory (hence the term, sweeping the book) or removing supply and eventually driving up the price or putting in a floor


--------

it has long been suspected and talked about, that this capability is reserved possibly, under non-disclosure contract, to massively large traders in league with the exchanges (Globex / CME, etc.)

whether or not this being true, its been suspected,

the question on this forum, is whether or not someone with knowledge (possibly no longer under restriction) or others who have seen the book being swept and suspect it too,

would like to weigh in on this subject

frankly, we're hoping this becomes a hot thread and a most educational one too

Reply With Quote
The following user says Thank You to kronie for this post:
 
  #6 (permalink)
Elite Member
Asia
 
Futures Experience: Beginner
Platform: NinjaTrader, TOS
 
Posts: 798 since Jun 2009
Thanks: 109 given, 786 received

kronie from a trader (you) talking to a developer (me) standpoint I still don't understand your question. My understanding of the phrase "sweeping the book" is taking out n levels. Looking at the 6E right now if I put in a buy limit order for 500 lots five ticks better than the last traded price I would have "swept the book" and the 6E would print 5 ticks higher until the usual price discovery mechanisms kicked in.

You can't buy the "current and all lower levels" unless there is a seller. I presume you know about VWAP, TWAP, Iceberg, etc orders that big players use to minimize the market impact of their trades.

Help me out in understanding what you want to do and I'll try to help.

Reply With Quote
 
  #7 (permalink)
Banned: trolling
NYC + NY / USA
 
Futures Experience: Advanced
Platform: "I trade, therefore, I AM!"; Theme Song: "Atomic Dog!"
Favorite Futures: EMD, 6J, ZB
 
kronie's Avatar
 
Posts: 798 since Oct 2009
Thanks: 216 given, 498 received


MXASJ View Post
kronie from a trader (you) talking to a developer (me) standpoint I still don't understand your question. My understanding of the phrase "sweeping the book" is taking out n levels. Looking at the 6E right now if I put in a buy limit order for 500 lots five ticks better than the last traded price I would have "swept the book" and the 6E would print 5 ticks higher until the usual price discovery mechanisms kicked in.

You can't buy the "current and all lower levels" unless there is a seller. I presume you know about VWAP, TWAP, Iceberg, etc orders that big players use to minimize the market impact of their trades.

Help me out in understanding what you want to do and I'll try to help.


trade weighted, not sure what that means
volume weighted, yeah,

what are the other two?

and, yes youi're right you swept the book with that scenario

however, what I have seen, especially when a tremendous amount of orders are kept server side and off the published book, but miraculously show up upon execution on each level,

there's something sophisticated going on,

and the scenario of purchasing in depth, all successively lower levels (price improvement) until a large order is filled, does exist

it evidently is not in the vernacular to us sophisticated retail traders, but it does exist, unlike what we're familiar with

Reply With Quote
 
  #8 (permalink)
Elite Member
arizona
 
Futures Experience: Intermediate
Platform: rolling my own
Favorite Futures: ES,CL,GC,6E
 
GoldStandard's Avatar
 
Posts: 211 since Oct 2009
Thanks: 326 given, 188 received


kronie View Post

however, what I have seen, especially when a tremendous amount of orders are kept server side and off the published book, but miraculously show up upon execution on each level,


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?

Reply With Quote
 
  #9 (permalink)
 Vendor: www.traderwerks.com 
Taipei Taiwan
 
Futures Experience: Advanced
Platform: NinjaTrader
Broker/Data: Optimus
Favorite Futures: TW
 
Posts: 693 since Jun 2009
Thanks: 440 given, 440 received


kronie View Post

however, what I have seen, especially when a tremendous amount of orders are kept server side and off the published book, but miraculously show up upon execution on each level,


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?

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

And it is a LIMIT order book.

Math. A gateway drug to reality.

Last edited by traderwerks; August 19th, 2011 at 11:50 PM. Reason: type
Reply With Quote
 
  #10 (permalink)
Elite Member
Asia
 
Futures Experience: Beginner
Platform: NinjaTrader, TOS
 
Posts: 798 since Jun 2009
Thanks: 109 given, 786 received


VWAP: VWAP - Wikipedia, the free encyclopedia
TWAP: Time Weighted Average Price - Wikipedia, the free encyclopedia
Iceberg: Dark liquidity - Wikipedia, the free encyclopedia

Have not read it, but on my shopping list: Amazon.com: Optimal Trading Strategies: Quantitative Approaches for Managing Market Impact and Trading Risk (9780814407240): Robert Kissell, Morton Glantz: Books

Reply With Quote

Reply



futures io > > > > Sweeping the book, ECN style....

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Jigsaw Trading: TBA

Elite only

FuturesTrader71: TBA

Elite only

NinjaTrader: TBA

Jan 18

RandBots: TBA

Jan 23

GFF Brokers & CME Group: Futures & Bitcoin

Elite only

Adam Grimes: TBA

Elite only

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
ECN Spot Forex Broker tderrick Currency Futures 31 November 16th, 2012 11:19 AM
Sharky's Style on FDAX fesx Emini Index Futures Trading 13 January 15th, 2012 12:28 PM
LLC with C-corp style taxaxtion TraderSU Traders Hideout 7 July 29th, 2011 03:48 PM
who have a list fo high leverage ECN brokers? avxoox Currency Futures 8 April 29th, 2011 11:55 PM
Belgian Style Ryanb Jokes 6 April 2nd, 2011 05:14 AM


All times are GMT -4. The time now is 03:35 AM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-16 in 0.15 seconds with 19 queries on phoenix via your IP 54.196.201.241