When the amount of buying is always the same as amount of selling, it has been discussed many times before here that price behaviour is not a game of demand and supply but expected demand and supply. That is also reflexivity adjusted demand and supply.

At a tick, inside the last "exchange" in the pit what is it that is moving the tick this side or that side?

I would simplify for my mind and place on the table an idea that it is the "Path of Greater Impatience". Whether a white shoe firm is "aware" of impending larger clients orders and therefore bidding higher or lower or there is a Technical Analyst anticipating some breakout or reversal and therefore not willing to be patient or there is a news driven, a.k.a. fundamental trigger puller, or there is an HFT machine that is sensing the depths of the order book, anyone who makes impact on the next tick is the one willing to stake a claim that her impatience is justified and is going to be profitable.

Ticks arise on impatience. Prices propagate on impatience. When too many minds and wallets are left into the patience zone, the impatient "in the money" hands get into whipping a notion that the patient will eventually turn impatient. That is where the reversals, small and big happen.

I would leave this note with a cheeky surmise that patience ain't the virtue, knowing when to be not patient and knowing when not to be impatient is the virtue.

Wondering if there is a way to capture from data streams any metrics of what percentage of existing bids and offers in the order book are changing and if such a series of data could be established how would it enhance trading decision making. This could get even more interesting to plot / numerically analyse what percentage of bids and offers are changing closer or away from price, what percentage new bids and offers are coming in and what percentage bids and offers are going out of the order book.


WordPress database error: [Table './dailyspeculations_com_@002d_dailywordpress/wp_comments' is marked as crashed and last (automatic?) repair failed]
SELECT * FROM wp_comments WHERE comment_post_ID = '10937' AND comment_approved = '1' ORDER BY comment_date




Speak your mind


Resources & Links