daily volume vs tick moves

General discussions about futures.
Post Reply
BARLI
Roundtable Knight
Roundtable Knight
Posts: 650
Joined: Sat Jan 17, 2004 6:01 pm
Location: USA

daily volume vs tick moves

Post by BARLI »

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.
Forum Mgmnt
Roundtable Knight
Roundtable Knight
Posts: 1842
Joined: Tue Apr 15, 2003 11:02 am
Contact:

Post by Forum Mgmnt »

Depends on the order type.

A buy market order of one contract will move the market one tick if the last trade was at the bid and the ask is one tick higher.

A limit order of any size won't move the market.

- Forum Mgmnt
BARLI
Roundtable Knight
Roundtable Knight
Posts: 650
Joined: Sat Jan 17, 2004 6:01 pm
Location: USA

Post by BARLI »

Does it go for all of the markets? When I see Hogs go down 10 ticks or up in one second does it mean that some guys simply put large market orders or the bid/ask spread is wide , or both?
Chuck B
Roundtable Knight
Roundtable Knight
Posts: 481
Joined: Thu Apr 17, 2003 6:34 am

Post by Chuck B »

Forum Mgmnt wrote:A limit order of any size won't move the market.

- Forum Mgmnt
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
Roundtable Knight
Roundtable Knight
Posts: 1842
Joined: Tue Apr 15, 2003 11:02 am
Contact:

Post by Forum Mgmnt »

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
Chuck B
Roundtable Knight
Roundtable Knight
Posts: 481
Joined: Thu Apr 17, 2003 6:34 am

Post by Chuck B »

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. :shock: 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...
Post Reply