eSignal Market Depth screen

[ivorm]

esignal Market Depth screen

I first posted this message on the Level ll board, but didn't get any response. I thought I'd try the same question on this board and see what happens. The original message is below.

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I'm starting to look at esignal's Market Depth screen (Level ll).

Does anyone know why there are two 'Size' columns on each side ? There's BSize and Size on the Bid, and Asize and Size on the Ask. What's the difference between them ; they nearly always seem to show the same value, except that the Asize and Bsize numbers sometimes show a + or -.

TIA.

 

[Trader333]

Ivor,

Bid size is the number of shares that the MM wants to buy so a bid size of 1 = 100 shares (in theory which I will explain in a minute)

Ask size is the number of shares that the MM wants to sell at the price they are displaying (again in theory)

What happens is that MM are only required to show a bid size of 100 (which is 1 on the screen), even though thay may be wanting to buy 20,000 and the same applies on the ask. The ECNs such as cinn, arcx brut etc are different because they will show the actual size of shares to trade at the price indicated.

This is why when you view a Level II screen it is difficult to tell what is going on but there are some very obvious clues. For example if you see a key MM such as GSCO at the inside bid with a size of 1 and the time and sales is showing a sea of red trades (ie everyone selling) and he just stays there then you can be sure that he is buying all that stock. Therefore the market is likely to go up because if he is buying all that stock then other MM will try and jump ahead of him as will the ECNs and GSCO will at some point want to sell that stock at a profit and he wont do that unless the market rises which he knows he is causing. This is just one example and a simplified one as things are somewhat more complex than that.

I hope this helps


Cheers


Paul

 

[Henry]

Ivor, the duplicate columns BSize and Size are showing the same thing (and same for the ASize and Size columns on the other side), one is just a graphical representation of the other in a sort of bar chart format - makes it easier to see the depth at a glance.

If the size has a "+" or "-" next to it, it means it's more or less than the round hundred, so for example a crafty MM wanting to jump ahead of someone offering 200 shares (shown as "2") could offer 210, which would be shown as "2+".

HTH,

H.

 

[Trader333]

Looks like I may have misuderstood what Ivor wanted.


Paul

 

[ivorm]

Hi Paul & Henry,

That's answered it nicely for me.

Many thanks for taking the time to reply.