daily volume vs tick moves
daily volume vs tick moves
Forum Mgmnt, I was wondering how big a size it takes to move a certain market for 1 tick. Lets say if Hogs daily volume is 20000 then how big a size of an order should be to move this market 1 tick , and is there some kinda proportion that determines that with other markets? Of course , I understand that it depends a lot upon the time of the day, since highest volume is usually during open and close.
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- Roundtable Knight
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Well, assuming it is placed away from the current trading, true. However, limit orders are used all the time in electronic trading and continually move those markets. If I'm long 30 Dax and I need to exit, I might click three ticks under the highest bid and in the process sweep the two highest bids (with quantity that adds up to less than 30) and then either be filled at the previous third highest bid or have remainder sitting as the new lowest offer at that price -- just an example to get the idea across. I've seen limit orders in the electronic markets make MAJOR moves sweeping 20+ ticks in the process and then end up with maybe a couple hundred lots left (which are usually taken care of quickly unless a major move is about to erupt).Forum Mgmnt wrote:A limit order of any size won't move the market.
- Forum Mgmnt
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- Roundtable Knight
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True a limit order higher than the current market for buys is effectively a market order up until that price. I was referring to making limit orders no higher than the current bid (in the case of buys).
Another effect is that insiders and market markers seeing a limit bid might move the market since they believe someone might be trying to buy size. You can negate this effect by sending in a few false orders or hitting their bids when the change them a few times with larger sell orders.
- Forum Mgmnt
Another effect is that insiders and market markers seeing a limit bid might move the market since they believe someone might be trying to buy size. You can negate this effect by sending in a few false orders or hitting their bids when the change them a few times with larger sell orders.
- Forum Mgmnt
I just remembered the mother of all limit orders I have ever seen. This was back in the spring of 2003 sometime, and it was in the Dow futures at 8218 (pretty sure that was the price). A limit order of greater than 10,000 lots total size held the market at that price for a long time (the stupid Dow pit contract traded a tick or two higher during this time, lol). I can't excatly recall the total size done at that price (sell order), but it was somewhere around 18,000 contracts. There was no significant meaning/outcome from this monster order as the long term trend was solidly up I guess, but it sure nailed the lid on the market that day for a long time. Somewhere I have a screen shot of Trading Technologies MD Trader window from that day...