Reply
 
Thread Tools
  #903  
Old Jul 6, 2010 3:23am
Pdat100's Avatar
Member
 
Member Since Oct 2009
Thumbs up institutional activity

Quote:
Originally Posted by Mr-Forex View Post
I won't show how i spot institutional orderflow but here is a cause for thought:

http://corp.bankofamerica.com/public...ets/agencyalgo
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 View Post
... 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?
Reply With Quote
  #919  
Old Jul 6, 2010 2:30pm
Pdat100's Avatar
Member
 
Member Since Oct 2009
Question Institutional Activity

Great Mr-Forex. Thanks for the clarifications.

Quote:
Originally Posted by Mr-Forex View Post
The procedure is:
if the institution(s) want buy f.e. the YEN and have a deadline (3 hours) for order execution, it can go like that:

enough liquidity available: normal price impact,smooth price action/impact
less liquidity: price rallys,orders get executed more often on smaller time periods.
I totally understand the procedure (e.g. the Ambush algorithm, one of many). But based on your clarification I understand that you commit to the move regardless ? in fact, on ground zero ? based on the benchmarks?

So, what do you refer to as "Benchmarks"?

Cheers
Reply With Quote
  #921  
Old Jul 6, 2010 3:14pm
Pdat100's Avatar
Member
 
Member Since Oct 2009
Default VWAP

Quote:
The most common is f.e. VWAP
I'm sorry - how do you get access to the required VWAP of the institution/s for accumulation/distribution of an asset?

Seems I missed something. How can I PM you?
Reply With Quote
  #924  
Old Jul 7, 2010 3:30am
Pdat100's Avatar
Member
 
Member Since Oct 2009
Default aggregated market depth

Quote:
Originally Posted by Mr-Forex View Post
VWAP is a calculation formula on volume & time period.

Seeing the levels (if there sits demand or supply) is a good advantage when having aggregated market depth view and how price reacts.

Sure , I'm all for VWAP (and other volume derivatives), let alone aggregated market depth...

Cheers buddy
Reply With Quote
  #926  
Old Jul 7, 2010 11:25am
Pdat100's Avatar
Member
 
Member Since Oct 2009
Question systematic study of price fluctuations between brokers

Here?s a practical question for all orederflow traders (wannabes, in-the-making and supreme-experts alike ).

Anyone aware of a systematic study of price fluctuations between brokers (induced by local price maneuvers)? How much can they differ, and for how long?

Cheers
Reply With Quote
  #928  
Old Jul 8, 2010 3:15am
Pdat100's Avatar
Member
 
Member Since Oct 2009
Default systematic study of price fluctuations between brokers

Quote:
Originally Posted by Mr-Forex View Post
Yes some banks pick off arbitrage opportunities between interdealer venues or by offering different spreads to customers.

It lasts so long till there can made a quick profit.
Well, I'm looking for some empirical results that might shed light on how far and how long a broker can push and maneuver price away from some theoretical temporal interbank average before it reverts back. Maybe a distribution histogram or something.

We?ll keep looking?
Reply With Quote
  #930  
Old Jul 9, 2010 4:59am
Pdat100's Avatar
Member
 
Member Since Oct 2009
Default study of price fluctuations between brokers

Quote:
Originally Posted by pvpn View Post
Arbitraging between different brokers is possible, but I don't see it feasible because of the costs involved.

Ho sure. I'm not interested in Arbitraging brokers.

I'm interested in differentiating between two different scenarios: a) Stop hunting spikes (induced by brokers by playing the spread - or a bit more..), and b) stop hunting "battles" in the sense that DS is talking about - one or more big players are affecting the price via substantial buying / selling with the purpose of getting the price to a certain level (that will trigger stops).

--
Reply With Quote
Reply

3 Traders Viewing This Thread (2 are members)
withnail, InvisibleMore than 10 Vouchers
Thread Tools


Similar Threads
Thread Thread Starter Forum Replies Last Post
Using future orderflow, to predict spot prices woo Trading Discussion 16 Jul 2, 2012 3:14pm
Vidas - Orderflow Nritv Trading Journals 1 Feb 10, 2011 1:07pm
Help.. Pending stop order when market price and Open price between broker requirement dewaforex Platform Tech 5 Apr 5, 2010 5:32am