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Big money moves the markets... fact or fiction?


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Big money moves the markets... fact or fiction?

  #11 (permalink)
 
chipwitch's Avatar
 chipwitch 
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TWDsje View Post
But where it gets complicated is that the large player will have impact when they try to exit their trade as well. What's more is that the impact of their trading tends to create a sort of liquidity wake behind them. So if they buy and then immediately turn around and sell they will on average lose money.

I can do that with a single contract.

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  #12 (permalink)
 kevinkdog   is a Vendor
 
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chipwitch View Post
I can do that with a single contract.

Seriously! Just tonight I had an algo sell 1 contract @RBJ22 at market. That was at the open, and less than 30 seconds later I had a buy order.

I sold at 3.4075 at 6:00:00 PM

I bought at 3.4440 at 6:00:29 PM


There must have been no one else trading, because that little long - flat for 29 seconds - long again fiasco cost me $1533!!!!

For 1 a contract order!

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  #13 (permalink)
 
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 chipwitch 
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kevinkdog View Post
Seriously! Just tonight I had an algo sell 1 contract @RBJ22 at market. That was at the open, and less than 30 seconds later I had a buy order.

I sold at 3.4075 at 6:00:00 PM

I bought at 3.4440 at 6:00:29 PM


There must have been no one else trading, because that little long - flat for 29 seconds - long again fiasco cost me $1533!!!!

For 1 a contract order!

Ouch! That would seriously hurt my newbie ego as well as my wallet. I'm guessing that if you're in for that kind of loss, you take some pretty nice profits too. I hope I get there some day. Right now it's just micros for me and my modestly impaired ego.

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 kevinkdog   is a Vendor
 
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chipwitch View Post
Ouch! That would seriously hurt my newbie ego as well as my wallet. I'm guessing that if you're in for that kind of loss, you take some pretty nice profits too. I hope I get there some day. Right now it's just micros for me and my modestly impaired ego.

That is just slippage, which I normally expect around $30-40. So it was not expected (or welcomed) by me at all!

Last year, I got hit with over $1500 slippage on 1 Gold contract.


Sometimes, the price of admission - just getting in or out of the market - can be substantial.

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 SpeculatorSeth   is a Vendor
 
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If only we had a time machine. Then we could empirically test how the market's behavior changes based on a single lot. That impact should be small, but we should theoretically be able to find edge cases where it did change the outcome. Especially if it's a small or illiquid market.

I'll give you an example. The 5yr hardly ever has any volume. Maybe a dozen contracts traded during the day. So on 2/7 I take a trade literally because there's no volume there. I'm the first contract to trade that day. Boom all the sudden there's a hundred contracts traded that day. I'm pretty sure that if I hadn't taken a trade on my stream that day there'd only be a dozen contracts traded.

- SpeculatorSeth
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ticker2
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hind sight - 20/20

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