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If an transaction occurs BELOW the bid vrs AT the bid a bullish or bearish move
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If an transaction occurs BELOW the bid vrs AT the bid a bullish or bearish move

  #1 (permalink)
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If an transaction occurs BELOW the bid vrs AT the bid a bullish or bearish move

If a transaction occurs BELOW the bid vrs AT the bid is it a bullish or bearish move ?
and vice versa
transacting ABOVE the ask vrs AT the ask
or am i missing something?


Last edited by Angelo1; April 8th, 2014 at 09:46 AM.
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Angelo1 View Post
If a transaction occurs BELOW the bid vrs AT the bid is it a bullish or bearish move ?
and vice versa
transacting ABOVE the ask vrs AT the ask
or am i missing something?

Such transactions are discussed here:

https://futures.io/elite-circle/3873-analysis-comparison-different-data-feeds-platforms-bid-ask-studies.html

Short version - your data feed is wrong.

Mike

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  #4 (permalink)
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Angelo1 View Post
If a transaction occurs BELOW the bid vrs AT the bid is it a bullish or bearish move ?
and vice versa
transacting ABOVE the ask vrs AT the ask
or am i missing something?


A larger order may sweep through several levels of the order book at once. In that case a transaction may print below the best bid.

Example: The screenshot below shows the NinjaTrader DOM for ES 06-14 a few minutes ago. The best bid is at 1845.75, the best ask is at 1846.00. A large market sell order of 2,000 contracts would sweep through the first two levels of the bid and print at 1845.25. This is well below the best bid. At least this is my understanding.

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Whether this is a bullish or bearish sign is difficult to determine.

Generally, one would consider a larger sell order bearish. However, this would only be true, if the move carries through. In that case you should see a breakout or gap to the downside.

If this does not happen, price may be close to a supply zone. Even larger traders may use iceberg orders to inject new limit buy orders into the order book whenever the price drops. If they do that carefully, you will notice sell orders of eager sellers and prints below the best bid, but next to no prints above the best ask.

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  #5 (permalink)
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FatTails is right, CME would report a sweep like that as a trade 'below' best bid. It's just the way they report it although it violates the logical definition of best bid as the highest limit order price sitting in the book. By that definition there would never be a trade below best bid... As far as this being bearish/bullish-it depends on where the area with such volume is relative to previous price action, size of that volume and reaction following that event. In such situation, one simple rule is not to take a long below a sweeping area (at least not right after it happens as it might be insider information getting ahead of a move that will crush everybody fading it...).

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