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How is the crossing of orders work in Order Flow?
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How is the crossing of orders work in Order Flow?

  #11 (permalink)
Market Wizard
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neil mccauley View Post
ok, if those sales are absorbed by buyers:
1-Why it not reflected as ASK?


I suspect you are asking the question because of the confusion between limit orders and market orders (see above).

If I sold 157 contracts, I must have sold them to somebody. This means that somebody has bought 157 from me (I'm simplifying with the example of 1 buyer and 1 seller). That's why I'm talking about buyers.

Simplistically speaking, the limit orders on the bid are people willing to buy at that price. Sellers who sell at market will sell to them.

Viceversa, limit orders on the offer (ask) are people willing to sell at that price. Buyers who buy at market will buy from them.


neil mccauley View Post
2-What kind of order there at that particular price point, buy market or buy limit?

Again, by simplifying (this is not what likely happened, I am just using this example for the sake of simplicity):

BEFORE the 157 contracts were traded, there were 157 contracts as buy limit.

THEN people started selling at market, and they were selling to the people who had 157 as buy limit.


But.... if you at that point where the market was, saw that there was a big order of 157 contracts ready to be bought by somebody else, would you have been prepared to sell, knowing that it was likely that the market would have reversed? That is why people tend to use iceberg (refreshing) orders, so more likely that's what happened, rather than a big order of 157 contracts sitting there.

Again, you want to watch the videos I posted at the Jigsaw link, they will help you understand the concept.

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  #12 (permalink)
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neil mccauley View Post
ok, if those sales are absorbed by buyers:
1-Why it not reflected as ASK?
2-What kind of order there at that particular price point, buy market or buy limit?

it is not reflected as ask because the buyers bought at the bid price and not at the ask price. So if the bought at the bid it means limit orders.

Look at the definition of iceberg orders. Most none retail orders are iceberg orders. It means you just see for example a bid for 5 lots but there are maybe 500 other hidden (in fact we don't know and that is exactly the purpose of the iceberg order: hide your size) once the first order is filled another order is automatically generated with a random quantity (after you have a lot of variation the only limit is your imagination). Iceberg are limit orders (with some variation but always with a limit that may change based on different criteria and strategies).

What is an 'Iceberg Order'
An iceberg order is a large single order that has been divided into smaller lots, usually through the use of an automated program, for the purpose of hiding the actual order quantity.

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  #13 (permalink)
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neil mccauley View Post
ok, if those sales are absorbed by buyers:
1-Why it not reflected as ASK?
2-What kind of order there at that particular price point, buy market or buy limit?


Fontprint charts are used to identify who is the Aggressor, the buyer or the seller?

There is never any more buyers than sellers, there are just more aggressive buyers or more aggressive sellers.

Footprint charts simply determine who the aggressor is, with the premise that the aggressor is more likely to move price is his direction because he is the one willing to cross the spread and take the bad fill, he's desperate and doesn't want to miss out/ can't afford to miss out(He's like that teenage girl trying to buy a ticket for a sold out Justin Bieber concert, or that homeowner who's just lost his job and needs to sell his house asap before he defaults on his mortgage).

In your example, why would those orders be reflected at the ASK, when they were the result of sellers hitting the BID? The order type is irrelevant, the end result was still sellers hitting the BID. It's like asking why is the sky blue and not green?

There could have been a large seller/s, who was driving the price down looking to get out. The large volume( 157) traded on the bid @ 14556, could have signaled the end of his selling, and what you have identified is absorption at the bid, which is a common instance you must learn to identify if you are to understand order flow. If you see price sell down, and then see lots of volume on the bid around lows/ swing lows, this could indicate price is about to rotate higher.

Footprint charts are not black n white in the sense that they always paint the true picture of future market direction, there are all sorts of nuances and unexplainable events that you must learn to navigate.

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  #14 (permalink)
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Hi,

Sell market stop orders but it's not the only answer and in the case for stops orders are invisible for you. Exist most than 50 types of orders. Good luck with trying to find the type of the order.
In the case of the 157, can be a buyers stopped out or buyers absorbing sellers througt the demand, but who knows.

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