BOT games & out of market fills - Aussie Stock Forums

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  1. #1

    Default BOT games & out of market fills

    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).

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  2. #2
    Can be found on the bid Trembling Hand's Avatar
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    Jun 2007

    Default Re: BOT games & out of market fills.

    Why couldn't it just be 1 lot trader.
    Who is the happier man, he who has braved the storm of life and lived or he who has stayed securely on shore and merely existed? -Hunter S. Thompson

  3. #3

    Default 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.

  4. #4

    Default 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 :P

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

    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.

  5. #5

    Default Re: BOT games & out of market fills

    Thankyou sir ... I will check them out.

  6. #6

    Default Re: BOT games & out of market fills

    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.
    Cheers, Richard Dale
    Norgate Data

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