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Quantitative analysis of speed of moves for ES in most recent vol.


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Quantitative analysis of speed of moves for ES in most recent vol.

  #11 (permalink)
 artemiso 
New York, NY
 
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@iantg Thanks for digging out the timestamps, a whole lot easier than sifting through 4 minutes of data.


iantg View Post
1. At 7:35:50 PM, At the Ask price = 2683, someone put up 670 to 680 contracts in. At that point the Bid/Ask was 2682.5/2682.75.

Your data looks weird.

This particular trader submitted a partially marketable limit sell of 750 contracts at 2683.00, 64 of which cleared 3 levels and got filled at an average fill price of 2683.21875. 819 microseconds later, another 6 contracts got lifted off his offer, then 26.216455s later, he canceled his order.


Quoting 
There are really only a few explanations.

Obviously (1) and (2) are wrong as he was the aggressor.

(4) is unlikely since his order was long-lived and he was willing to take sizable fills.


Quoting 
At any rate, what I suspect is sorta like getting the HFT to do the bidding so to speak. Once the trader takes a position, they post the large size which they may or may not intend to fill but the purpose is to drive the market into their resting limit buys. A similar explanation is that a large trader gets off side and needs to clear their book. They can do this provided they are trading against weak hands.

This doesn't make sense. Most electronic market makers can react in sub-millisecond. The only trade that followed this order in sub-millisecond response time was in the opposite direction. Almost all algorithmic trading firms can react in sub-second. 90 contracts were bought and 91 contracts were sold within 1 second of this trader's action. A very feeble attempt to drive the market no?

I'm all for outing spoofers, and I'm happy to analyze legitimate events and report them to the market regulators if I find anything on your leads, but we shouldn't propagate conspiracy theories against low latency trading firms.

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  #12 (permalink)
 tpredictor 
North Carolina
 
Experience: Beginner
Platform: NinjaTrader, Tradestation
Trading: es
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@artesimo Can you check the earlier one I mentioned? 19:07:56 Did the large offer come on before we broke lows or after? What would be the purpose of displaying 3x-8x the normal offer at 1 tick off the low if it wasn't to drive the market? After these offers are made, the low is taken out.

Again, I am not claiming they have to be spoof orders. I am just questioning the intent. Right, they could be stop limit liquidation orders too. I had thought they chased but if they stayed on the same level then that's a question. Right, I corrected the last one and mentioned I think he was filled ~ 10 minutes later. He had an approximate fill of 200~. He may have issued more. But at least at the same level about 19:40 an iceberg was at the same level. He originally offered like 740 and over 900 transacted counter to his order at the level. But I don't know if he reloaded into the lows. You will see too the order 80 came online just a few seconds? later. So that makes me wonder if the intent was to fill at 80 and/or "hide" his resting order at 80.

Thanks again for any insight you can provide. I have ideas but I don't have hard knowledge. My two thesis were either,

1. These were stop limit liquidation orders
2. These were large orders posted to drive the market down.

It is possible it is a combination of both, the large aggressive limit orders to trigger the stops and stop limits and then the intense buying to get all the liquidity. Right, I do not know whether or not these were HFT traders: I just assumed it.

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  #13 (permalink)
 artemiso 
New York, NY
 
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tpredictor View Post
@artesimo Can you check the earlier one I mentioned? 19:07:56 Did the large offer come on before we broke lows or after? What would be the purpose of displaying 3x-8x the normal offer at 1 tick off the low if it wasn't to drive the market? After these offers are made, the low is taken out.

This one sold 400 contracts with partially marketable limit sell at 2692.00, which cleared 2 levels, filling 87 at an average fill price of 2692.112068965. He/she was OK with resting his order for another 21 seconds and had a few more partial fills along the way.



Quoting 
It is possible it is a combination of both, the large aggressive limit orders to trigger the stops and stop limits and then the intense buying to get all the liquidity. Right, I do not know whether or not these were HFT traders: I just assumed that based on other sorts of behavior I seen in past that it was probably HFT.

I doubt it. But if it were an algorithmic trader, his strategy must've been highly unoptimized as I can get a better average fill price and fill rate for 400 contracts with a naive strategy.

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  #14 (permalink)
 tpredictor 
North Carolina
 
Experience: Beginner
Platform: NinjaTrader, Tradestation
Trading: es
Posts: 644 since Nov 2011

@artemiso

Did the large orders offer come up before we broke the prior lows or after? Or are you saying this was the aggressive trader selling at the lows and some of his orders executed while others went to limit?

I guess my problem with what you are saying is that you are both claiming (1) that he wasn't trying to pressure the market down but (2) that whatever he was doing was so inefficient that even a naive algo could have got a better fill.

Here's a thought, what if it is a trader with a lot of buying power that wants to pressure the market. They have ability to fill all of them. But their real intention is to get filled on say 25% to 50% and then pressure the market in their favor. Because that order did break the lows. I mean we're talking about several hundred lots. That's not retail size. In both of these cases, the large size came on and started pressuring the market 1 tick above the lows.

I see it one one way but if you see it another way then please provide your best explanation of what happened.

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  #15 (permalink)
 artemiso 
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tpredictor View Post
Did the large orders offer come up before we broke the prior lows or after? Or are you saying this was the aggressive trader selling at the lows and some of his orders executed while others went to limit?

This trader cleared multiple levels with a marketable limit, the unfilled portion of his order posted as the new (lower) best offer.


tpredictor View Post
I guess my problem with what you are saying is that you are both claiming (1) that he wasn't trying to pressure the market down but (2) that whatever he was doing was so inefficient that even a naive algo could have got a better fill.


tpredictor View Post
Here's a thought, what if it is a trader with a lot of buying power that wants to pressure the market. They have ability to fill all of them. But their real intention is to get filled on say 25% to 50% and then pressure the market in their favor.

What you're describing is very common in fixed income markets, for different reasons.

It's difficult to make the case that this was manipulative trading because the trader did cross the spread, get significant fill and wait for substantial time at the front of the queue, which carries high chance of execution.

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