Trading The Light Volume Summer Market

Posted by Brian Lund in Media, Trading

Yesterday I did my weekly “hit” on the Business for Breakfast radio show, and the main topic was trading light volume summer markets and how the exchanges use that to screw with your stop orders.

(click image to start audio)

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  • http://twitter.com/JFinDallas JFinDallas

    Great blog, thanks for your insight on the market. I also read your other post on stops.
    Is there in this dimension any market or exchange where any sizable order is NOT sniffed out instantly by the bots anymore ?

    I used to remember the days when NYSE specialists (humans) would do it occasionally (sometimes quite blatantly, I can vividly remember one time, I was just a couple of years in this business, so not very well versed in the market shenanigans yet, it was in 1998 during a pretty volatile period, at the time we still had to call some institutional broker on the phone, there was no placing and canceling orders instantly… I had a stop order for 1000 shares of Nortel (NT) at 92, the stock was trading at 94 I think, then time was suspended it seemed like, volume dried up, a few hundred shares traded on the way to that spike down to 92, 1000 shares traded at 92 (ding ding ding) and then it immediately spiked back up to 94, it happened in like 2-3 minutes as I was watching speechless the action unfold on my Bloomberg screen, that was the last stop order I put out in the market in this fashion…) but now it’s instantaneous, I had another one picked out this morning on $LVS in that classic rubber band fashion mere seconds after I put it out there, bots are annoying, or rather bots picking pennys out of my pockets all day long are annoying…

    I use Interactive Brokers and I use some of the advanced order settings but haven’t quite found the anti-bot sniffing one…

  • angry bird

    ugh, that was a pretty horrible radio show. but i learned something new about stop orders. but i wish you had given more explanation about what a flash quote means you said it doesn’t have to be an actual trade. please talk more about that.

    i think i was recently the victim? of a stop executing when $CEDC had a microsecond drop in price. i thought it was just my bad luck that the stop triggered, but maybe it was caused by some market maker doing something to trigger my stop order? i thought my only way to avoid it would have been to lower the stop price, but now i know i can ask my broker if they can hold stop orders on their server, instead of putting them in the market.
    anyway, now i’ve got to wait for $CEDC to go back down to a price where i can load up, and get ready for the recovery, lol.