Quote:
Originally Posted by Mr-Forex |
Excellent post, Mr-Forex!
So, BAML is soliciting potential institutional clients to use their algo based execution infra to enter and exit the market when in need for a big-size trade. When describing the ?Ambush? algorithm they say ?Limit prices are encouraged on all Ambush orders?. Nice.. (btw, so much for the Dance-vs-War metaphor debate back at fti?s thread

)
In my eyes, there are actually two questions: The first is the one most dealt with here, how do we recognize the move with or without access to the tape?
And, second, once recognized (we can't know how deep is the iceberg), are we to stay out of the market or try to fade/shade - as the
maneuver can sometimes be fast and sharp and other times long and
persistent. Now, here's the thing, even if you recognized the iceberg, you would still need to assess its impact on price (PA). Actually I would argue that this is the more complex question. As merlin puts it:
Quote:
Originally Posted by merlin ... HOWEVER, if the price reaches the sell orders, and they actually execute, i might be a little worried that there really are sellers at that level.
now, what would make me decide if i am to exit or hold my long is determined by how the price reacts to this selling. if the sell orders get fiilled, and the price continues north, i would know that the bulls are in control and i would hold my long position. HOWEVER, if the price bounces off the sell orders, i know the shorts have taken over and its time to exit. |
In fact, same goes for options expiration plays. If only one side drives the price (to or away from the strike price) that would have been easy. Alas, in practice, what you see around the strike areas is a fight between two or more elephants. How can anyone know in advance which side is to prevail?
I would argue that this is the more important issue: a solid set of criteria to assess an institutional move impact on price.
Are we back in VSA realm or what?