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If the Ask Size of a stock is more than the bid size, then is it fair to conclude that people are more desperate to sell than to buy and hence, the stock price maybe expected to drop ?

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    nope, what if that bid order is so small because it is someone actually trying to buy a small amount of shares and the huge Ask is more likely the market maker who would have a comparable sized bid, but is currently out-bid by the small buyer. We'd have to look at a Level 2 quote window to see the actual depth of market. – Knuckle-Dragger Mar 2 '14 at 15:13
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Yes, but it must be remembered that these conditions only last for instants, and that's why only HFTs can take advantage of this.

During 2/28/14's selloff from the invasion of Ukraine, many times, there were moments where there was overwhelming liquidity on the bid relative to the ask, but the price continued to drop.

  • Thanks. Can you link to an article about the 2/28/14 selloff? I could not find any references on google. – Victor123 Mar 2 '14 at 15:51
  • @Victor You'll have to analyze the date yourself to see how liquidity was ran through during the selloff. Actually, during just about any rapid selloff or appreciation, you can see huge momentary liquidity against the direction. – user11865 Mar 2 '14 at 16:18
  • Thanks. Can you specify a stock or etf in which the selloff was very pronounced? I don't see any in SPY...it advanced to 186$. – Victor123 Mar 2 '14 at 16:47
  • @Victor Np. The selloff of SPY was very sharp on Friday. You'll have to buy historical order data to confirm the intermittent counter-direction liquidity. – user11865 Mar 2 '14 at 17:19
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    @Victor You're quick to accept an answer, when no supporting reference has been provided. This answer amounts to an anecdote. There is nothing backing it up. – Chris W. Rea Mar 3 '14 at 1:27

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