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Why trades at a specific price level is larger than resting limit orders?


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Why trades at a specific price level is larger than resting limit orders?

  #1 (permalink)
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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?


Last edited by xiniuwang100; March 9th, 2016 at 12:23 AM.
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xiniuwang100 View Post
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?

Check your time & sales, also are you using Interactive Brokers for your data feed ?

Math. A gateway drug to reality.
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  #4 (permalink)
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xiniuwang100 View Post
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?

It's an iceberg order.

Basically limit orders that stay hidden until the bid drops to a certain level.

It's not necessarily HFT - it's an order type many platforms/exchanges support.

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  #5 (permalink)
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traderwerks View Post
Check your time & sales, also are you using Interactive Brokers for your data feed ?

Yes, i am using IB data feed, is it due to poor data feed quality?

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  #6 (permalink)
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DionysusToast View Post
It's an iceberg order.

Basically limit orders that stay hidden until the bid drops to a certain level.

It's not necessarily HFT - it's an order type many platforms/exchanges support.


If the limit orders stay hidden, what's the meaning for market depth? Since it's not accurate.

Thank you for your answer.

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  #7 (permalink)
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xiniuwang100 View Post
If the limit orders stay hidden, what's the meaning for market depth? Since it's not accurate.

Thank you for your answer.

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.

So all in all - that's a good thing!

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  #8 (permalink)
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DionysusToast View Post
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.

So all in all - that's a good thing!

It makes sense to me, thanks.

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xiniuwang100 View Post
Yes, i am using IB data feed, is it due to poor data feed quality?

王洗牛, Interactive Brokers data is filtered so it sends bunches of data. You can read more about it here
Unfiltered Data

.

Math. A gateway drug to reality.

Last edited by traderwerks; March 9th, 2016 at 08:58 AM. Reason: Added :becky:
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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.

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