# BOT games & out of market fills



## RobinHood (30 September 2008)

Lets start with the bots. Over the past few weeks I've noticed some weird stuff happening on the Schatz (euro bond future).


on DOM you'll have the offer/ or the bid being incrementally increased at a constant and stable pace. It is way to fast to be a human. But its not filling up in chunks of 10,20,50 or 500 but just 1 lot. (it can happen on both the best bid and ask at the same time) What doesn't make sense - 

If this was an iceberg order it would be way better to be filled in bigger lots as when it rapidly and incrementally increases like so ... 300,301,302,303 you can see it in a second. Even if you have 100 DOMs up. It grabs your attention like that.


A few moments later on the tape I see a pattern showing up with small 1 and 2 lots. It can't be a human and yet its in such small sizes that I don't see why a bot or anyone would even bother. If it were someone filling a much larger order he would not be filling it in 1 and 2 lots (on the schatz its not very rare to see 1000 lots+). 

Here is a screenshot of the T&S action I'm describing:







Also, by any chance anyone know why their are so many fills outside  or inside of the market ?? I see lots of in between market as opposed to at market when things get gnarly but also occasionally some outside of the market randomly (so above ask, or below bid). Here is a screeny just in case (black text is a fill in between the bid/ask).







Cheers


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## Trembling Hand (30 September 2008)

*Re: BOT games & out of market fills.*

Why couldn't it just be 1 lot trader.


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## G-fer (30 September 2008)

*Re: BOT games & out of market fills.*

Hello Mr. robin hood ...

A little off thread I think ... but I see that your platform is Ninja Trader.  Would this be through an Ozzie broker by any chance?  

Regards .... G-fer.


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## RobinHood (30 September 2008)

*Re: BOT games & out of market fills.*



> Why couldn't it just be 1 lot trader.



speed and repetition.

on the dom:
Someone piles up bids or offers in the book at a rate of a few per second but very consistently. It can  add an extra few hundred orders at that specific level.

on the tape:
i can't show it all but i've seen it a few times already, not even a second apart. 1,1,1,2 - 1,1,1,2 - 1,1,1,2. Maybe its the same people seeing the same thing entering right after each other very consistently 

Hasn't happened very often but I've seen it enough times to be curious.


G-fer:
Its NT through Zen-fire ( checkout amp futures). they have a really cool deal for X_Trader simulator too if thats something your interested in.


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## G-fer (1 October 2008)

Thankyou sir ... I will check them out.


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## Richard Dale (1 October 2008)

Another (simple) explanation could be that it's acually showing you the fills of separate orders.

eg. Let's say the market is showing 104.420/104.425.  And there's 10 buyers at 104.420, who entered in their buy orders as 10,1,1,5,1,1,1,4,25,1 lots respectively

If you put in a sell order for 70 lots @ 104.420, then the actual "course of sales" would be 10,1,1,5,1,1,1,4,25,1 all at the exact same timestamp.  You would also see the ask go to 50 @104.420.


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