Can someone tell me what this MM did on Level 2?

jjmtrade

Newbie
3 1
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.
 
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timsk

Legendary member
7,504 2,254
Hi jj,
I've always been pants at interpreting level 2 and T&S but, hopefully, someone who's good at it like Mr. Charts or DionysusToast will see your post and offer comment. If not, I recommend you PM them.

If you're able to provide a screenshot showing the trades printing at the time, that might help members' interpret what's going on. It sounds as if there's a big order to acquire or dispose inventory in the stock and that BSE is trying to conceal their intentions - but you've worked that much out for yourself already!
;)
Tim.
 

jjmtrade

Newbie
3 1
Yeah, I probably should have just done that from the start, haha.

I'll grab screens later tonight.

Thanks for the reply :)
 

jjmtrade

Newbie
3 1
Ok, I grabbed a quick screenshot of my l2 and period I'm referring to.

COIbltJ.png

cSkvWiA.jpg


So this is in the first 30mins or so of trading day 7/18/13, circled on the chart. I'm noticing BSE has a larger ask that stays just ahead of the last transaction, and a larger bid staying just behind the last transaction. At times they will quickly jump to top bid and top ask with small sizes, but will go back to just behind / just ahead of the last transaction with size again. Then GMCR popped a Viagra and the rest was history.

Which brings me back to my original question... What went on here? :|
 
 
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