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Difference between Cumulative Delta Bars (CDB) - Up/Down Tick Volume and CDB Volume


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Difference between Cumulative Delta Bars (CDB) - Up/Down Tick Volume and CDB Volume

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  #11 (permalink)
 Blash 
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Silvester17 View Post
looks like a little confusion



what @Bladesmith says makes absolutely sense. he wants to buy at the offer and sell at the bid. if you put a buy limit order at the ask (at that price), it's similar to a market buy order. with the difference you might not get filled for the entire order. then the rest of your order becomes bid of that former ask price. in other words, you might not get filled for the entire order, but there'll be no slippage. I like that strategy in thinner markets.



hopefully I'm making sense.



It's not similar to a market order. It is a market order. By definition.

Ron


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  #12 (permalink)
 Silvester17 
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Blash View Post
It's not similar to a market order. It is a market order. By definition.

Ron


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I prefer to call that a "marketable" order. you might not get filled and with market orders you should (as long as there're offers)

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 Schnook 
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Blash View Post
One can not place a limit buy order at the ask or a limit sell order at the bid.

Sure you can

Remember, a market order means you'll pay the offer regardless of where the offer happens to be at that moment, whereas a limit order means you'll pay anything up to and including your limit price, irrespective of where the current ask price happens to be at that moment.

As @Silvester17 correctly pointed out, if your limit buy price happens to be equivalent to the current ask price, you'll immediately get filled up to the amount offered at the ask, at which point any remaining unfilled portion of your limit order then becomes the bid. The type of order you submit is completely independent of where the best prevailing bid and offer happen to be at that moment. Indeed, it's the specified price that differentiates the limit order from the market order, which is why it's the preferred order type for arbs, spreaders, hedgers, market makers, and countless automated trading strategies. It's precisely this type of order that causes Cumulative Delta Volume to calculate a different result than Up / Down Tick Volume.

Take a look at the numbers bar / footprint chart I posted above - in particular, take note of the bid volume x ask volume at the local 2363.00 low. Notice how 1496 contracts traded at the 2363.00 bid and an 285 additional contracts were lifted at the 2363.00 offer without the price ever touching 2362.75. This illustrates a limit sell order coming in at the bid side, with a portion of said limit filled at the bid and the remaining, unfilled portion becoming the ask and then getting filled by market buys or limit buys at the ask.

It sounds weird but if you watch numbers bars / footprints and order flow you see it all the time. In thinner markets you might even see a limit come in a few ticks above or below last offer / bid.

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 Schnook 
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Blash View Post
It's not similar to a market order. It is a market order. By definition.

No, actually market order, by definition, does not contain a specified price limit. That's the difference. The prevailing best bid and ask levels at the time of order submission does not change this fact, it only impacts whether or not the order will be filled, in whole or in part, at that time.

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 Blash 
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Bladesmith View Post
Sure you can

Remember, a market order means you'll pay the offer regardless of where the offer happens to be at that moment, whereas a limit order means you'll pay anything up to and including your limit price, irrespective of where the current ask price happens to be at that moment.

As @Silvester17 correctly pointed out, if your limit buy price happens to be equivalent to the current ask price, you'll immediately get filled up to the amount offered at the ask, at which point any remaining unfilled portion of your limit order then becomes the bid. The type of order you submit is completely independent of where the best prevailing bid and offer happen to be at that moment. Indeed, it's the specified price that differentiates the limit order from the market order, which is why it's the preferred order type for arbs, spreaders, hedgers, market makers, and countless automated trading strategies. It's precisely this type of order that causes Cumulative Delta Volume to calculate a different result than Up / Down Tick Volume.

Take a look at the numbers bar / footprint chart I posted above - in particular, take note of the bid volume x ask volume at the local 2363.00 low. Notice how 1496 contracts traded at the 2363.00 bid and an 285 additional contracts were lifted at the 2363.00 offer without the price ever touching 2362.75. This illustrates a limit sell order coming in at the bid side, with a portion of said limit filled at the bid and the remaining, unfilled portion becoming the ask and then getting filled by market buys or limit buys at the ask.

It sounds weird but if you watch numbers bars / footprints and order flow you see it all the time. In thinner markets you might even see a limit come in a few ticks above or below last offer / bid.

Sorry I don't have the time I would like for this. My in-laws are here. So I'll just use this....


Quoting 
Limit orders allow traders to enter and exit trades with precision; however, they must be entered correctly to ensure that they accomplish the goal of improving price - that is, to get a specified price, or better, on a trade execution. It is important to be on the correct side of market: when entering a buy limit order, the trader must specify a price that is at or below the current bid; for a sell limit order, the specified price must be at or above the current market ask. The price ladder in Figure 2 demonstrates this concept.

Read more: Introduction To Order Types: Limit Orders | Investopedia Introduction To Order Types: Limit Orders | Investopedia
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Source.... Introduction To Order Types: Limit Orders | Investopedia

Ron

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Blash View Post
I feel there is a slight issue with the bold sentence above, please. One can not place a limit buy order at the ask or a limit sell order at the bid. Limits placed at the ask can only be for selling and limits placed at the bid can only be for buying. The opposite orders, markets, can be placed there... market sells at the bid and market buys at the ask.

I had a fun time with this post found here....


Ron

-He's referring to a marketable limit order.
-You are referring to a passive limit order

*I think you're just not familiar with the order type.

The idea is that you place a marketable limit order at the bid/ask price, because, HFT MM own the spread and will always get to the front of the queue. Therefore, your passive limit order would only get filled if price trades back through it. Placing a marketable limit order, you take all that is available at the bid/ask and then you're remaining order goes to the front of the queue. So you are for the most part a liquidity taker, not a provider.

This is a common entry for prop shops trying to counter HFT, or for those trading automated strategies.

"Free markets work because they allow people to be lucky, thanks to aggressive trial and error, not by giving rewards or incentives for skill. The strategy is, then, to tinker as much as possible and try to collect as many Black Swan opportunities as you can"
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 Blash 
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Neo1 View Post
-He's referring to a marketable limit order.

-You are referring to a passive limit order



*I think you're just not familiar with the order type.



The idea is that you place a marketable limit order at the bid/ask price, because, HFT MM own the spread and will always get to the front of the queue. Therefore, your passive limit order would only get filled if price trades back through it. Placing a marketable limit order, you take all that is available at the bid/ask and then you're remaining order goes to the front of the queue. So you are for the most part a liquidity taker, not a provider.



This is a common entry for prop shops trying to counter HFT, or for those trading automated strategies.



I responded to @Bladesmith post that spoke about a limit order. No other words were used.

The CME has these order types....

https://www.cmegroup.com/confluence/display/EPICSANDBOX/Order+Types+for+Futures+and+Options?desktop=true&macroName=multiexcerpt

"Marketable limit order" is a technique not an order type.

Ron



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 Silvester17 
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Blash View Post
I responded to @Bladesmith post that spoke about a limit order. No other words were used.

The CME has these order types....

Order Types for Futures and Options - Electronic Platform Information Console - Confluence

"Marketable limit order" is a technique not an order type.

Ron



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this is getting kind of silly.

maybe an example will help you:

the market is 224 - 225. there're 25 stocks bid at 224 and 5 stocks offered at 225. you have an order to buy 10 at 225. what are you going to do?

- are you going to wait till at least 10 stocks are offered at 225 and then send a market order?
- are you going to wait till 225 is bid and then send a limit order at 225?
- or are you going to send a normal buy limit order for 10 stocks at 225 (ask price) right away?

like mentioned before, this is a very common approach. nothing special

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 paps 
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Silvester17 View Post
this is getting kind of silly.

maybe an example will help you:

the market is 224 - 225. there're 25 stocks bid at 224 and 5 stocks offered at 225. you have an order to buy 10 at 225. what are you going to do?

- are you going to wait till at least 10 stocks are offered at 225 and then send a market order?
- are you going to wait till 225 is bid and then send a limit order at 225?
- or are you going to send a normal buy limit order for 10 stocks at 225 (ask price) right away?

like mentioned before, this is a very common approach. nothing special

agree.... this happens daily is all i will say. why would some of the bigger guys place a MO in a fast paced market...this also controls risk imho

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 Neo1 
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Blash View Post
I responded to @Bladesmith post that spoke about a limit order. No other words were used.

The CME has these order types....

Order Types for Futures and Options - Electronic Platform Information Console - Confluence

"Marketable limit order" is a technique not an order type.

Ron
futures.io


...Market-Limit Order, or Market Order with Protection.

"Free markets work because they allow people to be lucky, thanks to aggressive trial and error, not by giving rewards or incentives for skill. The strategy is, then, to tinker as much as possible and try to collect as many Black Swan opportunities as you can"
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