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| | so, how big is the volume ?
how much more volume could you handle without manipulating
prices by your very orders |
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| Subject: | volume |
| Posted by: | Rene' Koch (Admin) ( C2 Score: 1000 ) |
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| When: | 3/01/11 (9:50) | |
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| | In response to post by guenter stertenbrink of 3/01/11 (9:20) so, how big is the volume ?
how much more volume could you handle without manipulating
prices by your very orders
Hi Günter,
from the information available on C2 it is hard to tell how many people trade Topaz and what volume the sum of all individual orders has.
From visible autotrade data and number of subscribers I estimate an AUM of $5M. Furthermor I estimate that Topaz can handle AUM of $30M.
I will stop accepting subscribers when we come close to that and/or if subscribers start to complain about no fills or partial fills.
Such a thing was not heard up to know however.
René |
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| | In response to post by Rene' Koch of 3/01/11 (9:50) Hi Günter,
from the information available on C2 it is hard to tell how many people trade Topaz and what volume the sum of all individual orders has....
See entire
Ah, but nowadays you can know how much AutoTrading volume is being done, both in total, and per account! It's all part of our nifty new "Live brokerage trade data is available for this system. See it?" feature, which now appears near the "Recently Closed Trades" list, for any system where live AutoTrade Data is available. And Topaz is one of those systems.
Check it out. It is very cool, and all part of C2's philosophy of increasing transparency and honesty in the world of trading systems.
Enjoy. |
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| Subject: | volume |
| Posted by: | Rene' Koch (Admin) ( C2 Score: 1000) |
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| When: | 3/01/11 (10:18) | |
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| | In response to post by Matthew Klein of 3/01/11 (9:53) Ah, but nowadays you can know how much AutoTrading volume is being done, both in total, and per account! It's all part of our nifty new "Live brokerage trade data is available for this system. See it?" feature, which now appears near the "Recently Closed Trades" list, for any system where live AutoTrade Data is available. And Topaz is one of those systems....
See entire
Hi Matthew,
thanks for the hint. I've seen this table before.
Does it include all gen1 and gen3 auto-traders?
But still: There is a "dark figure" of manual and semi-automated traders.
Probably its possible to get an estimate from a Nasdaq Order Book...
René |
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| Subject: | volume |
| Posted by: | Karl A |
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| When: | 3/01/11 (14:30) | |
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| | In response to post by Matthew Klein of 3/01/11 (9:53) Ah, but nowadays you can know how much AutoTrading volume is being done, both in total, and per account! It's all part of our nifty new "Live brokerage trade data is available for this system. See it?" feature, which now appears near the "Recently Closed Trades" list, for any system where live AutoTrade Data is available. And Topaz is one of those systems....
See entire
Matthew,
This is really a great new feature and as Mike OnC2 previously has mentioned you should make a general announcement when you introduce such slick new tools.
What happens when a subscriber clicks on "Reveal Your Name", does everyone who opens that page then sees the subscriber's name?
BTW, would it be possible to add seconds to the broker's execution time, right now one can only see time delays when they approach one minute.
Thanks,
Karl |
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| Subject: | volume |
| Posted by: | Michael Bytnar ( C2 Score: 959) |
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| When: | 3/03/11 (8:33) | |
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| | In response to post by Rene' Koch of 3/01/11 (9:50) Hi Günter,
from the information available on C2 it is hard to tell how many people trade Topaz and what volume the sum of all individual orders has....
See entire
Speaking of poor fills/missed limit orders.. I manually enter Limit Orders via IB. In the past few days, these limit orders missed:
BTO ILMN @ 55.54 Looking at the 1-min chart, it touched this very briefly and then shot up very quickly. Position never opened since ILMN pulled a "ramp & camp." This means one might consider using MIT (Market if Touched) orders, but this introduces another variable for bad fills, if the bid/ask spreads widen during market volatility or low liquidity.
STC JBHT @ 39.30 This was a "bump & dump" as the general market trended lower.
STC ORLY @ 55.43. The saving grace on this missed limit was that the Monday open was significantly higher. Noting the 1-minute chart showed at least three patches of selling pressure that same day at/around the Topaz STO Limit price/exit, so Topaz was quite likely influencing the selling pressure.
I am not complaining. This is the nature of market liquidity, and the 'discovery' of pent up demand to buy/sell. But, if the air keeps getting thinner up here, the missed fills may start to significantly drag on the subscriber performance. I am somewhat glad I have not encountered a partial limit fill yet.
Regards,
--Mike |
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| Subject: | volume |
| Posted by: | Rene' Koch (Admin) ( C2 Score: 1000) |
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| When: | 3/03/11 (8:40) | |
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| | In response to post by Michael Bytnar of 3/03/11 (8:33) Speaking of poor fills/missed limit orders.. I manually enter Limit Orders via IB. In the past few days, these limit orders missed:
...
See entire
Hi Mike,
many thanks for the detailed analysis.
René |
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| Subject: | volume |
| Posted by: | Michael Bytnar ( C2 Score: 959) |
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| When: | 5/04/11 (9:30) | |
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| | In response to post by Rene' Koch of 3/03/11 (8:40) Hi Mike,
many thanks for the detailed analysis.
René
Hi René,
Just noting a limit fill issue.
5/3/2011 BTO WFMI @ Limit 58.5 "Limit Entry, PosID=2011-05-02" was very thinly traded. It touch 58.50 briefly, and briefly revisited 58.51 three minutes later. My limit order at IB did not fill, and I suppose others using strict limit orders (not Market-If-Touched, like C2's "Limit Order") would be affected.
Granted, sometimes the strict limit order gets a better fill than a MIT order, but it's sorely missing out on WFMI's rebound from 58.50, and may likely hit the sell target at market open today. I expect more volatility from WFMI, due to the earnings call after the market close today 5/4/2011.
C'est La Vie,
--Mike |
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