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I'm looking at a 1-minute chart of NQ prices. Using a CQG data feed that provides bid and offer volume. Every minute over a given 5 minute period, the number of shares traded at BID was greater than those traded at OFFER. However, over that same 5 minute period, the price moved higher each minute (1-minute bars).

Wouldn't more shares moving at BID have the effect of pushing the price down over those 5 minutes?

Can anyone shed light on this for me? Thank you!

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  • Does this answer your question? What does it mean in a stock when the Bid volume is 100x higher than the Ask volume?
    – Ellie Kesselman
    Dec 4, 2020 at 6:31
  • Thank you. I checked that earlier post. Mmmm... not really. My question concerns actual transactions that occurred, not limit orders sitting in the order book. I think it may be because NQ/ES/YM/RTY often simply trade at market, and... but I can't complete the cause & effect loop. :/
    – Neville Nason
    Dec 4, 2020 at 6:44
  • Whether or not someone commits to a BID or an ASK doesn't really matter. It is the actual agreement that is the point. Consider this, we could remove ask offers entirely, and the market would still be able to trade. (its not a good idea, but I try to highlight a point: its the price of actual and completed contracts that determines all). A thing is only worth whatever some two people agree on exchanging it for!
    – Stian
    Dec 4, 2020 at 11:15
  • hi @StianYttervik - could it be you are misreading it ? when you look at low level data you can see whether a given sale was indeed on a bid or on an offer. that's what the OP (apparently) is asking about.
    – Fattie
    Dec 4, 2020 at 14:14

3 Answers 3

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Suppose the market is $50.00 x $50.15 with a size of 10,000 x 1,000. That means that buyers are bidding to buy 10,000 shares at $50.00 and sellers are offering 1,000 shares at $50.15

What happens now? Will price rise or will it drop? That all depends on who crosses the market and for how many shares.

Suppose I come along and I sell 2,000 shares at the bid. The quote now becomes $50.00 x $50.15 with a size of 8,000 x 1,000 (assuming no new orders come in at current price). If the previous trade was at $50.00 then price is unchanged.

Suppose you come along and you buy 1,000 shares at the ask price of $50.15, taking out all shares offered at that price (and no new orders come in at $50.15 or better). The ask price now moves up to the next order on the order book, say 500 shares at $50.25.

If no buyers raise their bid, the quote becomes $50.00 x $50.25 with a size of 8,000 x 500. However, in general, as the ask price moves up, bids tend to be increased as buyers raise their buy prices.

The net result? 2,000 shares traded at the bid and 1,000 shares traded at the ask and yet price increased (last trade as well as the ask price).

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  • Well, it's clear I was overthinking this, isn't it. :) Thank you for your kind explanation.
    – Neville Nason
    Dec 5, 2020 at 23:42
  • Ugh... I can't go back and fix the above comment! I also wanted to add the following: Thank you for your clear and understandable explanation! I guess I was overthinking this. To your explanation: "... as the ask price moves up, bids tend to be increased as buyers raise their buy prices..." to help my understanding, I would add: ...and some sellers will come down to meet the now raised bids. Is that a valid extrapolation (given the nature of real market price action)?
    – Neville Nason
    Dec 5, 2020 at 23:59
  • What's to fix? You want to un-thank me? ;->) Don't worry about it. You wondered about something and you got an answer that satisfied your curiosity. Time for the next question! :->). To you latest question, the market is an auction and price and volume will go to where buyers and sellers drive it to. With extreme supply or demand, price trends. When it wanes, price reverses. When buyers and sellers alternate in strength, price vacillates. For securities, very often you'll see price move sharply in the first 1/2 to 1 hour of the market and then reverse some amount. =Supply and demand.
    – Bob Baerker
    Dec 6, 2020 at 0:05
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Think of houses for sale on a street. If nobody will sell, the price goes up. If there are more and more bidders bidding and paying their bid price, the price goes up.

I may misunderstand something you describe, but as far as I understand it, what you describe is the normal and obvious situation.

Note that the OP is describing sales actually made. Not bids and offers sitting there.

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    Put another way: bids = demand to buy the stock. Offers = supply of available stock. When demand > supply, we expect price to rise.
    – Grade 'Eh' Bacon
    Dec 4, 2020 at 13:58
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    hi @StianYttervik . Pls read the question - the OP is indeed talking about sales made.
    – Fattie
    Dec 4, 2020 at 14:13
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    @StianYttervik He means nobody will sell "at the current prices". When the bidders start raising their bids, someone will eventually sell, and the "price" goes up.
    – D Stanley
    Dec 4, 2020 at 14:13
  • Yes, as I mentioned above in response to @bob-baerker 's response, "When the bidders start raising their bids, someone will eventually sell, and the "price" goes up." was the missing piece of the puzzle for me. Thank you for your response to help clarify! :)
    – Neville Nason
    Dec 6, 2020 at 0:09
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To rephrase Fattie's answer: it's supply and demand. Low supply and high demand makes for high prices.

If you don't believe that, look at an auction.

When there's a lot of widgets to buy from multiple sellers but few want to buy, prices are low. When -- like in your scenario -- a lot of people want to buy widgets, but few want to sell, buyers start driving up the amount of money they're willing to pay for the widgets.

And the stock market is a great example of an auction...

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