Welcome to NexusFi: the best trading community on the planet, with over 150,000 members Sign Up Now for Free
Genuine reviews from real traders, not fake reviews from stealth vendors
Quality education from leading professional traders
We are a friendly, helpful, and positive community
We do not tolerate rude behavior, trolling, or vendors advertising in posts
We are here to help, just let us know what you need
You'll need to register in order to view the content of the threads and start contributing to our community. It's free for basic access, or support us by becoming an Elite Member -- see if you qualify for a discount below.
-- Big Mike, Site Administrator
(If you already have an account, login at the top of the page)
Why trades at a specific price level is larger than resting limit orders?
Why trades at a specific price level is larger than resting limit orders?
For example, at bid price level 9876, resting bid limit order is 300, resting ask limit order is 400, suddenly 1000+ trades occurred at bid level, is it due to HFT trades? where are these trades from?
Can you help answer these questions from other members on NexusFi?
Of course, if market depth was always accurate you'd just be able to look for large bids/offers and trade ahead of them.
Think about it though - the fact you can see low depth, then see more go through - means you can see the demand of someone that is trying to hide their demand.
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,049 since Dec 2013
Thanks Given: 4,386
Thanks Received: 10,206
As already stated the obvious answers to the question are icebergs and the way IB show the data. The less obvious potential answer, especially if there are multiple liquid contract months (eg CL, NG, GE etc but not ES, NQ, TF) is implied pricing. The Globex matching engine only disseminates first order implied prices but will actually fill orders based upon second order implieds. Hence there is often unshown volume on bids and offers that will never be revealed, but if an order is entered taking out the entire bid or ask, then they will fill based upon second order implieds.
