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Shredding

  #21 (permalink)
 
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 Big Mike 
Manta, Ecuador
Site Administrator
Developer
Swing Trader
 
Experience: Advanced
Platform: Custom solution
Broker: IBKR
Trading: Stocks & Futures
Frequency: Every few days
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Any of you guys watched the TV show Traders? It's 10 years old now and obviously most everything is automated (still a great show btw), but it got me thinking...

What about all the orders that are just an agreement between Party A and Party B? Party A maybe wants to sell 10,000 of XYZ and Party B wants to buy. They may agree to do it privately, in which case you don't see it on any market depth, you just see a big transaction blip.

Haven't given this much thought so could be wrong...

Mike

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  #22 (permalink)
 MetalTrade 
 
Posts: 1,055 since May 2010
Hello DB,

I remember reading this study :

Do Retail Trades Move Markets?
--
We conclude that over short and long horizons retail trade imbalances forecast
future returns. Over short horizons – such as a day or week – retail trades move stock
prices in the direction of their trades. Over long horizons like a year, the retail trades
move only the prices of small stocks in the direction of their trade. In combination the
contemporaneous price moves and subsequent reversals suggest retail trades move
markets – particularly among small stocks, where the trades of retail investors are most
likely to be influential.
--
https://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.151.7144&rep=rep1&type=pdf

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  #23 (permalink)
 JohnBly 
San Anselmo, Calif.
Elite Member
 
Experience: Intermediate
Platform: MC,Photon,CGQ,TS
Broker: IB, FuturePath,TS,CGQ
Trading: All futs, ES
Posts: 22 since Feb 2011
Thanks Given: 2
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Thanks and Yes excellent points DBM.
Some mkts like NQ perhaps more retail as a percentage, but agreed it may perhaps a fool's errand to spend much energy trying to comb them out.

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  #24 (permalink)
 JohnBly 
San Anselmo, Calif.
Elite Member
 
Experience: Intermediate
Platform: MC,Photon,CGQ,TS
Broker: IB, FuturePath,TS,CGQ
Trading: All futs, ES
Posts: 22 since Feb 2011
Thanks Given: 2
Thanks Received: 10


Big Mike View Post
Any of you guys watched the TV show Traders? It's 10 years old now and obviously most everything is automated (still a great show btw), but it got me thinking...

What about all the orders that are just an agreement between Party A and Party B? Party A maybe wants to sell 10,000 of XYZ and Party B wants to buy. They may agree to do it privately, in which case you don't see it on any market depth, you just see a big transaction blip.

Haven't given this much thought so could be wrong...

Mike

Still see it on T&S in some form if Futs.

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  #25 (permalink)
 JohnBly 
San Anselmo, Calif.
Elite Member
 
Experience: Intermediate
Platform: MC,Photon,CGQ,TS
Broker: IB, FuturePath,TS,CGQ
Trading: All futs, ES
Posts: 22 since Feb 2011
Thanks Given: 2
Thanks Received: 10


MetalTrade View Post
One thing I recently learned from one of my last books is that not all futures orders are displayed on the book. Apparently there are people that are allowed to trade without having to put their orders on the book.
'

There are Icebergs, but will still clear via the exchange and appear in T&S.

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  #26 (permalink)
 MetalTrade 
 
Posts: 1,055 since May 2010

Big Mike View Post
Any of you guys watched the TV show Traders? It's 10 years old now and obviously most everything is automated (still a great show btw), but it got me thinking...

What about all the orders that are just an agreement between Party A and Party B? Party A maybe wants to sell 10,000 of XYZ and Party B wants to buy. They may agree to do it privately, in which case you don't see it on any market depth, you just see a big transaction blip.

Haven't given this much thought so could be wrong...

Mike

Banks trade OTC, tbey don't like our markets, we don't see what they do.

their orders are so big, we can't imagine

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  #27 (permalink)
 traderwerks  is a Vendor
 
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MetalTrade View Post
. Apparently there are people that are allowed to trade without having to put their orders on the book.

I'm not talking about OTC.

So who are these people?

Math. A gateway drug to reality.
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  #28 (permalink)
 traderwerks  is a Vendor
 
Posts: 692 since Jun 2009
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Big Mike View Post
Any of you guys watched the TV show Traders? It's 10 years old now and obviously most everything is automated (still a great show btw), but it got me thinking...

Mike

It is a good show, not as much about trading as I would like. I got the series last year and watched a few episodes a day.

Math. A gateway drug to reality.
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Last Updated on March 1, 2011


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