Hey guys, I'm new to the forum and this is my first post.
I've been trying to grasp level 2 and t&s data, and I have a question on something I noticed a market maker doing.
Trading session was 7/18/13 with GMCR in the NY morning session.
Around 9:35ish I noticed a large transaction go for 25k shares. Sporadically throughout the first 30 mins I would notice spikes of 17k shares, 4k shares, 1700 shares... And while watching the l2 I noticed that MM BSE has size orders (relative to the rest of the orders sitting there) on both the bid and the offer. The size mainly stayed 15 on both the bid and the ask, and as the stock moved up so did the BSE's bid and ask. The bid stayed anywhere from 15-30ticks below the last sale and the ask stayed between 15-30 ticks above the last sale. At times GMCR would slow down for a few minutes then move up again.
It did this until it eventually broke out a little after 10:00 am and kept doing it during the rally.
So now I'm confused as to how to interpret this...
Was this a size player who accumulated multiple times before the breakout? Was this someone who accumulated during the down move in the days prior (or possibly even the large transaction I saw for 25k shares at open) who was now scaling out of his position?
I also noticed that transactions were going off for more shares at a given price than were shown in the book. For example, at one time the offer was 72.50 with a size of 1, yet 3500 shares went off at 72.50.
I know this is fairly long but it would be greatly appreciated if someone could set me straight.
I've been trying to grasp level 2 and t&s data, and I have a question on something I noticed a market maker doing.
Trading session was 7/18/13 with GMCR in the NY morning session.
Around 9:35ish I noticed a large transaction go for 25k shares. Sporadically throughout the first 30 mins I would notice spikes of 17k shares, 4k shares, 1700 shares... And while watching the l2 I noticed that MM BSE has size orders (relative to the rest of the orders sitting there) on both the bid and the offer. The size mainly stayed 15 on both the bid and the ask, and as the stock moved up so did the BSE's bid and ask. The bid stayed anywhere from 15-30ticks below the last sale and the ask stayed between 15-30 ticks above the last sale. At times GMCR would slow down for a few minutes then move up again.
It did this until it eventually broke out a little after 10:00 am and kept doing it during the rally.
So now I'm confused as to how to interpret this...
Was this a size player who accumulated multiple times before the breakout? Was this someone who accumulated during the down move in the days prior (or possibly even the large transaction I saw for 25k shares at open) who was now scaling out of his position?
I also noticed that transactions were going off for more shares at a given price than were shown in the book. For example, at one time the offer was 72.50 with a size of 1, yet 3500 shares went off at 72.50.
I know this is fairly long but it would be greatly appreciated if someone could set me straight.
