Paper tricks

csw2002

As most of you know, I have been monitoring S&P futures pit for a while and provided information whenever I could in Cobra's daily thread. I want to share with you how paper tricks us into holding onto losing position for longer, or opening a losing position, or how to run stops.

(1) Showing a false bid/offer prior to the pit opens: Yesterday was a classical example. In the morning, S&P gapped up prior 9:30AM and lots of people were getting a bit bullish. Chi Corp was showing bids prior to the open. Many on E-Minis jumped gun and bought prior to S&P future pit's open. However, as soon as the bell rang, that bid turned into an offer and market was sold down immediately.

(2) Showing a false bid/offer at a known level of support/resistence: On Aug 11 (the starting date of the current sell-off), towards the end of the cash market, GS and JP were both showing a bid of 500 cars at critical support level of 1087 (total 1000 cars). Once that bid appeared, there was a large number of e-mini contracts hitting the offer and the market started to lift. However, by 4:05PM, Cisco ER came in and outlook was worse than expected. S&P future started to drop. Bottom fishing buyers started to pile in at 1088/1087 on e-Mini. However, when the market traded to 1087, these 1000 car bid from GS and JP was pulled and market plunged through 1087 level.

(3) Using a small bid/offer to move the market closer to support/resistence and then sell/buy through support/resistence with a big order: For example, you see Chi Corp was selling all day yesterday. As we neared the opening range towards late morning (after an initial dip and then a  subsequent rally), suddenly Chi Corp showed a bid below the current trading price by a few ticks. As locals were long from the opening range, they immediately gave it to Chi Corp bid in order to lighten up on long. As the bid was below the original trading price, the market inched towards the bottom of the OR when it was hit. As soon as that happened, Chi Corp followed up with a 100 car sell order at market price. It immediately sold through the bids and drove the S&P below OR. Since a lot of e-mini day traders had their stop loss at the bottom of OR, we saw OR breached very easily as stops were triggered.

catbear

great post.

acoust

hillcrest

whzdf

jeff110

谢提醒

ksd9235

bid size, ask size are all illusions, only last size is real

slowstep

thanks for sharing!

xnz