Heading under 10,000 on the way!

[ERD50]

..we need the ability to place trades that will not be routed to less liquid exchanges. If someone could have placed a sell order on PG that could *only* be executed at the NYSE, they wouldn't have sold for less than 56 ...

The solution already exists - place a limit on your sell order. You want 56, enter 56. Done.

I routinely do this on a sale. If I *really* want to sell, and am not trying to squeak out every last penny (and risk missing the sale), I'll set my limit just a bit below the current bid/ask. On liquid stocks, it almost always gets sold at the higher price - I've never seen any evidence that they try to scoop it up at my lower offer. I've routinely seen it blip up as I'm submitting, and it gets sold a fair amount higher than my entered limit. The bid/ask system seems to work, IME.

-ERD50

 

[IndependentlyPoor]

It seems like some ETFs were hit more than others, and surprisingly, among them were some large Vanguard ETFs.

This from Bogleheads
Bogleheads :: View topic - Vanguard ETFs crack under stress

 

[ERD50]

Comparing a depreciating asset purchased for utilitarian purposes to a pure investment which people only buy for income and/or capital appreciation seems rather odd to me.

But my point is, unless you are actively selling at the exact time of this rare event, the market price really isn't a factor. The people who only bought (and held) for income and/or capital appreciation were really not materially affected. They will get their dividends, and their capital is more than it was a few months ago.

I'm much more worried about just about everything else than I am that some trader liquidates an account and causes a half-hour drop in the market. I slept fine last night with a pretty high equity AA.

-ERD50

 

[Steve O]

Look out!!!!

I think support is 1040 S$P

King Obama will be speaking soon... This will be interesting...

 

[ERD50]

Making a small side bet on this. I just placed a limit order to buy JUNE $111 Strike Calls @ $4.70 (the low end of the bid/ask when I submitted) and was filled @$4.70.

I then entered a limit sell @ $6.70 for an even $2 profit (minus fees/comm). Already up to $5, I may bail early on a smaller profit - that is pretty much based on 'gut feel', which is what I go by on these little 'side bets'.

-ERD50

UPDATE - got out at $5.35 for a quick little profit. Gut said take it.

 

[Texas Proud]

I just don't see how this could work. If the large selling drove the prices down, then any large buying would drive them up. The low prices were because there were few buyers relative to the amounts being sold. The $.01 prices would not exist if there was an order there.

I think this is much ado about nothing. The only people I could see being hurt by this are those with stop limit orders - and those people are ALWAYS taking the risk that they can get stopped out way below their stop price. So if it happens once every couple decades, well - it happens. As stated previously, I NEVER use stop limit orders.

How does this once-in-a-blue-moon event affect the average investor? Nada, IMO. I almost always place limit orders on my buys and sells, and if I don't, I'm watching the price closely. If I'm unlucky enough to get hit by this rare event and sell into a down market, I was just as likely to be buying and get lucky with a great deal.

IMO, this is a big yawner that the news will make try to make a big deal out of, and Congress will cry for more regulation (of what?).

I guess we shouldn't allow furniture stores to have liquidation sales either - the market price of my sofa might be affected for a few days - heavens!

-ERD50

Just as an FYI... I think you have your terms messed up a bit...

A stop LOSS order is executed once you reach the trigger price... and it is a market order... so you CAN sell at a lot lower price than you intend...

A stop LIMIT is a stop loss order with a limit price... so say you set the trigger at $10 and the limit at $9... the stock can not sell at less than $9... if the price goes down from say $11 to $8 right away... your trade does not execute...

So using a stop limit is the way to go if you want to put one in place... a stop loss is the one to avoid...

 

[IndependentlyPoor]

Apparently Bloomberg went offline again (or at least its homepage wouldn't load) around 9:30 EDT. Big market drop and rebound then.

 

[ERD50]

Just as an FYI... I think you have your terms messed up a bit...

A stop LOSS order is executed once you reach the trigger price... and it is a market order... so you CAN sell at a lot lower price than you intend...

A stop LIMIT is a stop loss order with a limit price... so say you set the trigger at $10 and the limit at $9... the stock can not sell at less than $9... if the price goes down from say $11 to $8 right away... your trade does not execute...

So using a stop limit is the way to go if you want to put one in place... a stop loss is the one to avoid...

I think you are right. Like I said, I never use them so I guess I forget the exact terminology! Thanks for setting me straight.

Ah yes - I just tried that with my brokerage web page. Stop LIMIT gives two terms, stop LOSS just one. I still think they are a bad idea, you get sold out on a blip. If you are that afraid of a drop, reduce your AA or just buy a PUT. A PUT gives you the OPTION of selling at that lower price - you can decide if that is attractive or not. It will only automatically trigger if it is an advantage at expiry (3rd Friday of the month close).

-ERD50

 

[Nords]

What does it mean to be a "taker of liquidity"?

I think it means that they sucked it up.

Or maybe they just sucked.

It feels like it's to the point that we need the ability to place trades that will not be routed to less liquid exchanges.

Fidelity offers a limited choice of directing orders to some exchanges. But it also probably makes orders once more that much harder to fill. Let's see:
- round lots
- limit order, not market
- set a reasonable limit after checking the real-time bid/ask spread
- day order, especially after this volatility
- fill or kill? Nah, let the market maker deal with it

... and now we have to pick an exchange?

And because that's not complicated enough, let's see what options contracts are pricing at today!

 

[audreyh1]

A little more information on impact of the NYSE halt to trading - Art Cashin on NYSE, Cancelled Orders | The Big Picture

Audrey

 

[Texas Proud]

A little more information on impact of the NYSE halt to trading - Art Cashin on NYSE, Cancelled Orders | The Big Picture

Audrey

OUCH!!!!!


"One other oddity occurred after the close of business. Several venues decided to cancel a variety of those “outlier trades”. Under their rules, they can announce a trade void and participants often have no right to appeal.
So, if you bought XZY at “bargain” prices at 2:43 and then sold it much higher at 3:30, then at 4:30 your buy order had been canceled. Your sale is still good, however, so you are now, accidentally, net short, at what looked like a good price but now looks like a bad one.
That could bring some buy interest this morning as folks seek to cover these accidental shorts. It all depends on how pervasive the cancellations were.
Another factor could be the rumored trader error. If it occurred, did they cover by the close? Did they hedge overnight? We may know on the opening."

 

[ESRwannabe]

I always use limit orders when buying/selling and I always use "all or none" on larger buys/sells. I want to know exactly what my max purchase price or lowest sell price will be. I set my prices at values I am happy with it and don't worry about my bid not getting hit immediately or missing out on some small amount of money that I could have theoretically gotten with the best price.

Better to be safe than sorry.

 

[Nords]

Better to be safe than sorry.

I don't know if my BIL-the-CPA uses stop orders for every one of his holdings, but now I know what to tell him if he's grousing at having ended up 100% cash yesterday...

 

[audreyh1]

I always use limit orders when buying/selling and I always use "all or none" on larger buys/sells. I want to know exactly what my max purchase price or lowest sell price will be. I set my prices at values I am happy with it and don't worry about my bid not getting hit immediately or missing out on some small amount of money that I could have theoretically gotten with the best price.

Better to be safe than sorry.

That's all I've ever used, all-or-nothing limit orders.

And I've never ever felt comfortable with stop loss orders and thus never used them, always been convinced I'd be taken out on a whiplash. After yesterday - no way will I ever use them.

Audrey

 

[ERD50]

That's all I've ever used, all-or-nothing limit orders.

Audrey

I'm curious about the all-or-nothing. I've avoided them, afraid that I will miss being filled. I assume all the smaller orders go ahead of me. If it's a case where I'm trying to grab the little movements in bid/ask, I often find that I get filled in many small chunks. Seems I might miss that price with an all-or-nothing. Unless it moves through my price at some point.

Have you had any problems getting these orders filled? I guess you might not really know, but logic tells me I have a better chance by not specifying all-or-nothing?

I suppose if I just want the trade to happen, and am not concerned about pennies (and I just want to avoid a wacky trade), I could put the limit at the ask or bid and specify A-O-N, but I find those get sucked up in microseconds anyway.

-ERD50

 

[tryan]

Geez, I was thinking of leaving an order to buy a bunch of shares at a penny ... just in case. But if the orders are being "cancelled" after being filled .... that's no fun.

 

[Leonidas]

List of all the canceled trades is here at WSJ (first is NYSE, second is NASDAQ):

Thursday's Canceled Trades: NYSE - The Wall Street Journal Online - Interactive Graphics

Thursday's Canceled Trades - The Wall Street Journal Online - Interactive Graphics

 

[audreyh1]

I'm curious about the all-or-nothing. I've avoided them, afraid that I will miss being filled. I assume all the smaller orders go ahead of me. If it's a case where I'm trying to grab the little movements in bid/ask, I often find that I get filled in many small chunks. Seems I might miss that price with an all-or-nothing. Unless it moves through my price at some point.

Have you had any problems getting these orders filled? I guess you might not really know, but logic tells me I have a better chance by not specifying all-or-nothing?
-ERD50

I'm patient!

Yes, I may have to wait a while longer - sometimes hours. But sometimes I get rewarded by being taken out on a big uptick and get a nice premium. Other times, I get taken out at my limit but might have to wait a while longer until the bid moves above my limit.

That doesn't bother me at all. It will eventually happen.

No, I have never had a problem getting my orders filled - eventually.

Audrey

 

[IndependentlyPoor]

Barry Ritholtz goes after the high frequency traders

Its worth noting that HFT now accounts for between 50% and 70% of trading. The supposed liquidity it supplies to markets — a lame excuse of ever there was one for legalized theft to be tolerated — simply up and went away during the crash. Abelson smartly dismisses the HFT rationale by observing: “It sorrows us to report that the bare bones of what happened on Thursday is that when the going got rough, the high-frequency crowd stampeded for the exits and their vaunted pools of liquidity vanished with them.”

Blame High-Frequency Trading | The Big Picture

Wow. I had no idea that HFT comprised such a large part of the market.

 

[FUEGO]

I'm patient!

Yes, I may have to wait a while longer - sometimes hours. But sometimes I get rewarded by being taken out on a big uptick and get a nice premium. Other times, I get taken out at my limit but might have to wait a while longer until the bid moves above my limit.

That doesn't bother me at all. It will eventually happen.

No, I have never had a problem getting my orders filled - eventually.

I think this ignores the real risk of non-execution of your orders. What if your limit price was the low point for the day/week/month/year (assuming you are buying)? Unless you up your bid price, you won't get execution on your order. Maybe not a big deal if you "KNOW" what the security is worth and you aren't willing to pay a penny more.

 

[FUEGO]

I'm curious about the all-or-nothing. I've avoided them, afraid that I will miss being filled. I assume all the smaller orders go ahead of me. If it's a case where I'm trying to grab the little movements in bid/ask, I often find that I get filled in many small chunks. Seems I might miss that price with an all-or-nothing. Unless it moves through my price at some point.

I'm no serious trader, but I have noticed that my AON orders don't show up as the best price on the bid/ask tickers. I may but in a buy order at, say, 16.31 limit for 6 lots, yet the bid price on the ticker would stay at 16.29 for 3 lots (for example). I'm offering a better price to potential counterparties that are sellers, yet I don't show up as the best price on the ticker. I can't recall if I have seen, say, 9 lots at 16.29 (where the cheaper bid price has MORE lots than my bid offer).

This is on the ISM and OSM trades I arb back and forth. At Fidelity.

I'm curious about the rationale behind the AON restriction as well. The only reason I was doing it for certain small-ish trades what that I didn't want to pay another $8 commission if only 1 lot of my order executed.

 

[audreyh1]

I think this ignores the real risk of non-execution of your orders. What if your limit price was the low point for the day/week/month/year (assuming you are buying)? Unless you up your bid price, you won't get execution on your order. Maybe not a big deal if you "KNOW" what the security is worth and you aren't willing to pay a penny more.

I'm generally selling. This is how I handle gradual divesting of a large position I have in long held company stock.

That might make a difference in your thinking through the scenario, if you assume over time that stocks generally appreciate.

Audrey

 

[clifp]

I always use limit orders, but I tend to avoid fill or kill or All or None orders. Sometimes they have avoided me getting hit with mulitple commissions for a single trade, but I think pricing is higher on them.

 

[IndependentlyPoor]

Been there, done that, have the...

 

[FUEGO]

Been there, done that, have the...

Man, that was a rough 10 minutes!