May

1

Globex, from anonymous

May 1, 2015 |

I wonder what the parameters of the globex trade matching program are for changing the price. One consideration would be to change price to encourage the maximum number of trades. A normal auctioneer calls a price to sell and if there are zero bids after three requests will drop the price. Or if the price is lifted will offer a new lot. Globex does not wait until all the bids are gone before dropping the price. Sometimes it will get stuck with just a few offers. There must be a counter for the number, or frequency of trades and whether they are at bid or ask, and if there is not enough trades, the price will move. There must be a different algo for regular market hours and after market. There probably are fast market programs that kick in also. Seems like an astute counter could reverse count what is going on, and I'm sure some do.


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  1. Jim Davis on May 3, 2015 10:30 pm

    Huh? Last time I looked , the price moved when all the bids or offers at a level were taken.

    Maybe they changed the rules of the game while I was indisposed.

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