4 ms·
So basically you don't know the actual midpoint where the market is trading. Doesn't that mean people can get an advantage by guessing where that point is and
by javert 15y ago
So basically you don't know the actual midpoint where the market is trading.
Doesn't that mean people can get an advantage by guessing where that point is and bidding just below it? (Not too far below, because then you're wasting money.) And if so, do they use strategies to try to determine where the midpoint is? (e.g. offer a very small number of shares at many different points, see which ones execute)
- cheddarmint 15y agoWhat the linked article doesn't discuss is that it is possible to get a real-time notification when a trade occurs. The price of the last trade is the mid-point that you are referring to. Algo trading/HFT shops are listening for trades as well as quotes - this is how they know the price that trades are actually happening at.
- javert 15y agoSo what you're saying is that the subpenny price that the trades are actually executing at is publicly available?
- lrm242 15y agoYes. Every trade is publicly available. The price, venue, size, etc.
- cheddarmint 15y agoYep. Here's an example: http://www.google.com/finance?q=ABIO http://www.google.com/finance?q=ABIO When I checked this page, the last displayed trade was $0.737.
- retrogradeorbit 15y agoBut isn't this just the aggregate? How is every trade visible? Why, if its all free and public, do you have to pay so much for live data feeds?
- bradleyjg 15y agoAll trades are made publicly avaiable eventually. The lower latency you want the more you have to pay. And some trades aren't avaiable at low latency for any price.
- lrm242 15y agoThere is no need to guess the midpoint. The midpoint is simply: (best_bid + best_ask) / 2.
- grandalf 15y agothe midpoint doesn't matter at all. There is no "price" only a price available for a certain volume.