Fins in the glass - trying to understand what happened by the ticks - page 3
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The bid in that situation has not changed. Limit bids are coming in a dense stream. The spread spreading situation was inside the 979 millisecond. Bids (including limit on sale), exposed earlier this 979 millisecond came to exchange already after a hairpin and formed new levels, having closed a gap in a spread. After all, even one sell order at old prices would be enough to bring the spread back to its previous level, which happened.
That is, you argue that the time interval between the new Ask and Bid is some discrete value, and if events took place less than this value, there will be no new Ask and Bid?
The bid in that situation has not changed. Limit bids are coming in a dense stream. The spread spreading situation was inside the 979 millisecond. Bids (including limit on sale), exposed earlier this 979 millisecond came to exchange already after a hairpin and formed new levels, having closed a gap in a spread. After all, it would be enough that even one bid to sell at old prices flew in to bring the spread back to its previous level, which happened.
And how come between 13:00:11.979, when the big bid was poured, and 13:00:12.008, when the new limits appeared in the stack, there were 3 trades (13:00:12.007)?
Believe what you want. Believe that the BCS broker is chasing studs in C:)))).......
And why talk about brokers in this case, when we are talking about MMs that only have to do with the stock market?
Yes and how can one provide a full-fledged stack for such a liquid instrument, unless it is an MM?
And how can you provide a full cup for such a liquid instrument unless it is a MM?
The liquidity of an instrument is not provided by the MM, but by the general interest of the participants in the market. Geez, it's ridiculous to think that Si is so liquid because market makers are on it!
And why talk about brokers in this case, when we are talking about MM, which have only to do with the exchange?
And then, that in the lists of the market makers of the stock exchange are listed brokers, and the biggest ones.
And how come there were 3 trades between 13:00:11.979, when the big bid was poured, and 13:00:12.008, when the new limits appeared in the stack (13:00:12.007)?
It is difficult to interpret the data taken from MT. Transactions at 65821(2) were either buy side (Ask) or sell side (Bid) However neither Ask nor Bid displayed the stated price, neither before 11.979 nor after. I dare to suggest that it is the effect of the simultaneous matching of the limit orders in both directions: two opposite limit orders bind each other before the Ask/Bid price has formed. This can happen during gaps or cases like this.
Actually Si-6.19 instrument 03.04.2019 13:00
I was confused by the spread in the tester - over 60 pips, so went to look at the tick history.
Here's the statement
The asterisk omits the purchase volumes.
Here is a graphical representation of the tick
And I don't understand, what kind of situation was this? Suppose someone bought 12471 lots at once (doubtful), but how he bought lots cheaper than in the initial part of the market, namely 65822, if he bought 65875 on this tick? Or is it a chronology recording error? If it's a mistake, then the next ask is already at 65819!
In the section of this tick I have a stop loss, and it is clear that the tester closes at the maximum price, but in fact the price should be lower, for the broker would not have had time to drive the trade into this movement, and the result is a difference of 30 points between ticks and OHLC.
Attached is a minute with ticks.
Alexei, you'd better ask that question to exchange support. I think then everything will fall into place.
Actually Si-6.19 instrument 03.04.2019 13:00
I was confused by the spread in the tester - over 60 pips, so went to look at the tick history.
Here's the statement
The asterisk omits the purchase volumes.
Here is a graphical representation of the tick
And I don't understand, what kind of situation was this? Suppose someone bought 12471 lots at once (doubtful), but how he bought lots cheaper than in the initial part of the market, namely 65822, if he bought 65875 on this tick? Or is it a chronology recording error? If it's a mistake, then the next ask is already at 65819!
In the section of this tick I have a stop loss, and it is clear that the tester closes at the maximum price, but in fact the price should be lower, for the broker would not have had time to drive the trade into this movement, and the result is a difference of 30 points between ticks and OHLC.
Attached is a minute with ticks.
The liquidity of an instrument is not provided by MM, but by the general interest of participants in the market. It is ridiculous to think that Si is so liquid because market makers are on it.
And then there is the fact that it is the brokers who are listed as market makers on the exchange, and the biggest ones at that.
Maybe this is a little bit of a misunderstanding. On Si market makers because it is liquid, not the other way around.
And about liquidity provision, think about it, is the general interest of the participants able to quickly restore the cup. And why would they do that, that's exactly MM's job?
And MMs, be they brokers or anyone else, are not chasing studs but patching holes after studs.
...
Really commenting inappropriately. Not interested in discussing anything further.
So you are saying that the time interval between the new Ask and Bid is some discrete value, and if the events were less than this value, there will be no new Ask and Bid?
I won't chew it up any more. A fantasist will always understand another fantasist.