Could someone explain to me how these large orders that occur after the bell are reflected in the price action or are they not reflected?
or
How do they come to be?
Trying to understand where these fit into the bigger picture.
Thanks!!
Disclaimer that I’m mostly guessing here, hopefully someone with more knowledge comes along.
Afaik large orders which create candles that appear to be outliers with a high/low well outside of the local range come from dark pools reserved for large investors on which a minority of trades in the security of interest take place. They show up on the tape immediately but don’t have the immediate effect on price other orders do (including retail orders routed through dark pools) because each dark pool is a localized ecosystem with its own bid and ask spread and standing offers. A large trade on, for example, an institution’s dark pool where two large players agree to transact at a mid won’t eat through standing orders on a retail dark pool and drive the price.
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It’s the NYSE closing auction order. It’s kind of a complex mechanism but it pretty much allows tutes to help balance the exchange’s book by getting large orders all at one price at close.
https://www.nyse.com/network/article/nyse-closing-auction?utm_source=homepage&utm_medium=banner
Interesting so is the order reflected in volume during normal hours as…ie. if a block of 5 mil share we’re at an ask of x price bits x then block is sold at that price or vise versus buy? Then they rebalance at EOD?
Also had a question into the legalality of spoofing orders. In after hours. See pics and if anyone can tell me if this is a legal practice. If it is man how could one ever try and place and order knowing the price you have to go through is so extremely high and then later it disappears around 8 pm est
So my understanding is that it’s not even done in blocks, most of the auction is literally through a floor broker at close. Once a settled close price is agreed upon the trigger is pulled. Not much clarity out there on the actual process.
“ Designated Market Makers (DMMs) have obligations to maintain fair and orderly markets and facilitate price discovery throughout the trading day, obligations that extend to the auctions. One of their obligations is to facilitate the closing auction process, which includes setting the closing price at a level that satisfies all interest that is willing to participate at a price better than the closing auction price, and supplying liquidity as needed to offset any remaining auction imbalances that exist at the closing bell.”
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So Knight, ARCA, and IEX are the big bully HFTs. I don’t know the whole story, but I’ve always believed that the outrageous spoof orders must have something to do with their algos. You can see them flash on the tape through the day and pull the ask in strange ways
Yeah, I habe noticed it for 8 months.