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Large orders on the DOM
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Large orders on the DOM

  #11 (permalink)
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sands View Post
The spoofing occurs to push the price to get it to where the HFT's can enter of exit their genuine strategies, as they are only interested basically shaking the tree to make it look as though the market is moving in one direction and then massively betting in the other and effectively roping in as many small traders to profit against. Then when the price moves in their favour they are out with the pennies and job done.

I think we as retail traders can't see the complete up to the nanosecond market depth. These large orders ( as in the NQ or ES ) are meant to scare the other guy's robot. Also I am worried that many orders of " size " as in 10 -20 or less contracts compete against either dark pools or broker assisted high speed shark attacks or both. I don't think the exchanges are in bed with these guys buy one never knows until the facts are denied.

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  #12 (permalink)
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jmeyer10 View Post
Also I am worried that many orders of " size " as in 10 -20 or less contracts compete against either dark pools

There are no dark pools in futures; all volume is traded on the exchange, whereas about 40% of equities volume is done off-exchange in dark pools.

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  #13 (permalink)
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josh View Post
There are no dark pools in futures; all volume is traded on the exchange, whereas about 40% of equities volume is done off-exchange in dark pools.

you better backtest that statement

for u.s. markets a good example are "exchange for related positions (EFRPs)

http://www.cmegroup.com/clearing/trading-practices/efp-efr-eoo-trades.html

also futures orders get compensated. if there's a buyer of 5,000 contracts and a seller of 2,000 contracts (same bank/broker), then only 3,000 contracts will be bought and the rest will be reported as otc to the exchange. not sure how common this procedure is in the u.s., but it's very common in europe.

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  #14 (permalink)
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Silvester17 View Post
If there's a buyer of 5,000 contracts and a seller of 2,000 contracts (same bank/broker), then only 3,000 contracts will be bought and the rest will be reported as otc to the exchange. not sure how common this procedure is in the u.s., but it's very common in europe.

I'm sure this changes market to market but since a lot of the conversation has centered around NG and CL I would agree with @Silvester17 that large trades get executed OTC (Over The Counter) and then 'Blocked' into CME's Clearport System (or ICE). While a lot of this block volume is options or strips, it's not uncommon to see some large prompt month blocks go through as well.

THIS PAGE HERE at the CME will show you all block trades executed off exchange and then cleared through the exchange as a real time feed. Filtering to only show Crude Oil we get this, and filtering to only show Natural Gas we get this. Note there are 100s of products other than CL & NG that trade OTC that have little to no volume traded electronically. (Especially on CME, some of them do trade on ICE)

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Silvester17 View Post
for u.s. markets a good example are "exchange for related positions (EFRPs)

EFRPs and block trades are negotiated transactions between two parties. They determine the size and price of the transaction. There are minimum requirements for the parties and for the size of the order.

This is nothing like a dark pool, and if ERPs can be considered "off exchange," it is unlike "off exchange" volume in equities, where dark pools are actually run, in most every way. The post to which I replied implied that a 10 contract order for crude oil could somehow be front-run by a non-existent dark pool, which is not accurate. If you are the best offer at 105.00, and another entity executes a market order to buy, you WILL be filled (at least partially). There is one exchange; perhaps there are many matching algorithms, and plenty of games for HFTs to play, but ONE exchange.

In equities, however, there are 13 exchanges, and over 50 prominent ATS's including dark pools. You may have a 300 share offer to sell XYZ at 50.00, with a NBBO of 49.99 / 50.00, and not get filled when someone executes an order to buy at the market (a 49.9999 print would be likely). So, you actually CAN BE competing with brokers and algos even if you are the best bid or offer. This happens all the time every day, and is due to the incredibly complex system of multiple exchanges, ATSs, and the numerous regulations that surround the entire system, which is loopholed to allow things like that to happen ("price improvement" for the buyer in the example given, but "screw you" to the seller at 50). The system work completely differently, and it's why equities are so much more of a fun playground for HFTs. So, if you want to technically consider an EFRP as off-exchange volume, cool. But it functions nothing like equities off-exchange volume, which is 40% in dark pools, and which the poster to which I replied was referring.

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  #16 (permalink)
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josh View Post
EFRPs and block trades are negotiated transactions between two parties. They determine the size and price of the transaction. There are minimum requirements for the parties and for the size of the order.

This is nothing like a dark pool, and if ERPs can be considered "off exchange," it is unlike "off exchange" volume in equities, where dark pools are actually run, in most every way. The post to which I replied implied that a 10 contract order for crude oil could somehow be front-run by a non-existent dark pool, which is not accurate. If you are the best offer at 105.00, and another entity executes a market order to buy, you WILL be filled (at least partially). There is one exchange; perhaps there are many matching algorithms, and plenty of games for HFTs to play, but ONE exchange.

In equities, however, there are 13 exchanges, and over 50 prominent ATS's including dark pools. You may have a 300 share offer to sell XYZ at 50.00, with a NBBO of 49.99 / 50.00, and not get filled when someone executes an order to buy at the market (a 49.9999 print would be likely). So, you actually CAN BE competing with brokers and algos even if you are the best bid or offer. This happens all the time every day, and is due to the incredibly complex system of multiple exchanges, ATSs, and the numerous regulations that surround the entire system, which is loopholed to allow things like that to happen ("price improvement" for the buyer in the example given, but "screw you" to the seller at 50). The system work completely differently, and it's why equities are so much more of a fun playground for HFTs. So, if you want to technically consider an EFRP as off-exchange volume, cool. But it functions nothing like equities off-exchange volume, which is 40% in dark pools, and which the poster to which I replied was referring.

ok, I understand. I was simply referring to your statement: "all volume is traded on the exchange". and that statement by itself is incorrect.

anyway, your example of offering 300 shares at 50.00 also depends on a few things. is this stock traded otc at the nasdaq, or listed on the nyse. if it's a nasdaq stock, you can't complain about not getting filled as long as 49.99 is bid. even if millions of shares are traded at 50.00. even if 49.99 is bid and 50.01 is offered, your order to sell at 50.00 can still be open. only if 50.00 is bid, you have to be filled. depending who your broker is (what market maker). in return you may not have to pay commission. now if your stock is listed at the nyse and bid is 49.99 and offered at 50.01, then you have to be filled at 50.00. if it's offered at 50.00 and paid, then it could have been filled/partial or you get the lovely excuse "stock ahead".

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  #17 (permalink)
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Feeding of the DOM


ncsutrader View Post
I have noticed this pattern on the DOM while sim trading NG. There will be large orders (120-300 contracts) that pop up at certain prices. It seems more often than not that price goes through the level with a large amount of orders instead of away from it. For example, this morning there were 350 contracts for sell at a particular price. When the price hit this level, the orders were not pulled. Market orders were flashing on the time and sales of 30+ (way more than the average order size on the time and sales) contracts wiping out the seller stacked at this level. Is this a known pattern?

It seems like it is best to buy when you see an unusually large number of sellers, and sell when you see an unusually large number of buyers.

My current view is that after watching the DOM(new blood) volume and the MARKET(old blood) volume, the sharks feed off the DOM to build up volume clusters. If the DOM is lean, they turn on the market (Contract reversals then dominate and spreads rule),( FIFO != "jump the que FIFO" but = slippage). This shows up in more stop/market order numbers than limit orders. Larger Contract Reversals combined with Commitment of Trader numbers reveal scalpers at work.
*The more you data mine, NT bogs down when the markets rev up*

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  #18 (permalink)
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I will use large DOM orders as a target order for a direction I already have plotted, much like S&R. I do not use DOM orders as any kind of entry signal, however.

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