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Can anyone explain my weird experience (sudden liquidity) on the market today?

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helpme

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This morning, I had a strange experience while selling a stock XYZ. The bid volume for XYZ was in hundreds. I had thousands to sell. I thought there was not enough liquidity. I did not care and sell anyway. Strange thing was ... when I sold, the liquidity suddenly appeared and absorbed my sale.

What happened? Is it some dark pool in the background that hide the bidders on the bid volume tape? Or some high-frequency traders who would suddenly appear to absorb a transaction?
 
helpme said:
This morning, I had a strange experience while selling a stock XYZ. The bid volume for XYZ was in hundreds. I had thousands to sell. I thought there was not enough liquidity. I did not care and sell anyway. Strange thing was ... when I sold, the liquidity suddenly appeared and absorbed my sale.

What happened? Is it some dark pool in the background that hide the bidders on the bid volume tape? Or some high-frequency traders who would suddenly appear to absorb a transaction?
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May have been filled via Chi-X ......http://cmsau.chi-x.com/ Cheers.
 
Your sale may have been put through the other exchange (Chi-X, CXA) or more likely a bot detected your ask and matched it quickly. The bidder didn't want their bid in the market for all to see, thus using a bot to wait for any retail sell orders.

Market depth is near useless since the second exchange started and the rise of the bots.
 
peter2 said:
Your sale may have been put through the other exchange (Chi-X, CXA) or more likely a bot detected your ask and matched it quickly. The bidder didn't want their bid in the market for all to see, thus using a bot to wait for any retail sell orders.

Market depth is near useless since the second exchange started and the rise of the bots.
Click to expand...

Thanks. THis is useful information. I guess it is a waste of money now to pay for market depth information anymore. Scary how fast the bots can react. Much faster than humans. They can create false impression of liquidity by withdrawing their bids/asks when a real order comes.
 
Yeah

The dark pool is supposed to be their for big boys to buy and sell without alerting the market with big orders.

HFT can see chi-x directly which one normally cannot as a retail trader.
I know last time I looked commsec places the order through chi-x first to get liquidity
HFT can arbitrage any differences in price to make a risk free profit.

I remember that HFT put their order on the exchange before mine even though there was no liquidity.I realised that HFT was looking at chi-x to then essentially front run me or gain info on my order to get in before me by price or time.

Another option is a algorithm could be sitting there waiting and only react once volume is there reasons could be to not reveal their order or like an automatic market maker sitting on the bid ask spread. Some market makers have to quote on certain securities and are generally HFT anyway. So if you put in an order they have to quote and if you put a market order then the best/ fastest will win to capture some of the spread.

Or sometimes a person could also be sitting there watching and doing a similar thing.
 
helpme said:
Do you mean the same stock can be traded on both Chi-X and ASX but the bid volume on Chi-X is not reflected on the ASX bid-ask tape?
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Yep unfortunately ... Not a fan of the new "system" but it is what it is:mask:
 
I am using Interactive Brokers. If I place an order, is the broker smart enough to route the order to whichever exchange offers the best price and liquidity? I don't recall ever configuring which exchange (ASX or Chi-X) to use.
 
barney said:
Yep unfortunately ... Not a fan of the new "system" but it is what it is:mask:
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This is bad news. How are investors going to judge the liquidity if the bid-ask volume is hidden?

ASX better buck up. What happened to me this morning is an indication that the liquidity for some stocks at the alternative CHI-X exchange is actually better than the main exchange ASX. It is a shame long-time incumbent ASX lose so quickly to a newcomer.
 
With many brokers these days, including mainstream ones (Commsec, ANZ etc) literally anyone can place a conditional order that triggers based on both price and volume.

So I could have my order to buy xyz if the price is $1 just sitting there and volume is greater than 1000 shares traded but it won't show up in market depth since the order isn't in the market as such, only with the broker. Then you sell 1000 shares for $1 and all of a sudden my order to buy 5000 of them appears.

Given that the mainstream brokers now offer that to ordinary retail clients basically anyone has access to that approach if they choose to use it.

It's a changed world certainly. It wasn't that long ago that retail investors only had the ability to place an order in the market as such unless they were using a service with a human involved. For that matter, even the concept of a stop loss has only been around with the mainstream online brokers for a few years.
 
helpme said:
This morning, I had a strange experience while selling a stock XYZ. The bid volume for XYZ was in hundreds. I had thousands to sell. I thought there was not enough liquidity. I did not care and sell anyway. Strange thing was ... when I sold, the liquidity suddenly appeared and absorbed my sale.

What happened? Is it some dark pool in the background that hide the bidders on the bid volume tape? Or some high-frequency traders who would suddenly appear to absorb a transaction?
Click to expand...

If you provide the actual code I can tell you what actually happened. A few broker/data platform has replay function. Several posters offered some response, but there are other possibilities as well.

peter2 said:
Market depth is near useless since the second exchange started and the rise of the bots.
Click to expand...

Volume off the depth is nothing new. Market depth is as useful as ever imo. But the way you make use of the information may have changed.

A crude retail platform (like Commsec) is probably at an disadvantage but that's not unexpected. Take a knife to a gunfight comes to mind.

helpme said:
Thanks. THis is useful information. I guess it is a waste of money now to pay for market depth information anymore. Scary how fast the bots can react.
Click to expand...

Interactive Broker's depth is only 5 levels from memory so really not that helpful for most stocks anyway. Depth (and course of sale) still offer a lot of useful information... you just need to know how to interpret it in light of the developments.

OmegaTrader said:
HFT can arbitrage any differences in price to make a risk free profit.
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In theory yes but in practice I don't think there are too much opportunities. Some times you see meaningful difference in last price between the 2 exchanges but that's only because the lack of liquidity in one (usually Chi-x, but stock dependent). So ASX last price might be $9.90 while Chi-X last price was $9.95 but in actual fact the ASX last price was 1 second ago while Chi-X last price was 49 seconds ago. And the current Chi-X bid-ask was $9.90/$9.95.

You can in some instances sit in the queues on both exchanges on both side of the spread to try to earn the spread... especially in the lunch time "locked up" period. But you are actually scalping rather than arbing... and the prominence of centre-point crossing these days make this approach much more difficult.
 
helpme said:
I am using Interactive Brokers. If I place an order, is the broker smart enough to route the order to whichever exchange offers the best price and liquidity? I don't recall ever configuring which exchange (ASX or Chi-X) to use.
Click to expand...
All brokers are required by ASIC to offer best execution. So in theory they should, though if they don't provide you the market data for ASX and Chi-X it would hard to know as a retail client.
 
helpme said:
What happened? Is it some dark pool in the background that hide the bidders on the bid volume tape? Or some high-frequency traders who would suddenly appear to absorb a transaction?
Click to expand...

Not sure what broker you are using but maybe you could only see the ASX bid volume. There may have been sufficient volume on Chi-X. Or it could have been the case there was an Iceberg type algo running. These algos will only post a fraction of their full order size but will "reload" when liquidity presents itself.
 
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