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I often read that institutional investors (mutual funds, banks, hedge funds, etc...) will build a position in a stock over time using relatively small orders so as not to move price and alert other market participants of their actions. In addition I also read of the use of "dark pools" by these institutions to hide their accumulation.

Is there a way to identify this accumulation with a greater than 50% accuracy using the price and volume data (end of day and/or intra-day)?

  • No. Not from that data. Maybe not at all. – keshlam Oct 31 '14 at 19:44
  • For mutual funds, you might be able to see their current 'mix' of stocks just by reading a prospectus (or up to the minute update thereof). Banks may also be required to report this information as part of their assets/holdings. – user1731 Nov 1 '14 at 13:54
  • It is very difficult to identify such orders, consider that if they just write passive orders in order books with very small qty every second let's say 10 - 15 as qty with occasional more than per minute volumes and also maintain the avg daily volume traded ... you cannot easily figure out these things. – user2349369 Sep 2 '18 at 4:45
  • It's easy to say that you can't figure this out easily but is there anything that helps to figure it out? – Bob Baerker Sep 2 '18 at 15:34
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A couple ways, but its not a guarantee.

You have to have special charts. Instead of each tick being 1 min, 5 min, or whatever, it is a set number of trades. Say 2000. Since retail investors only buy and sell in small amounts, there will be small volume per tick. An institutional investor, however, would have a much much higher trade lot size, even if using an algo. Thus, large volume spikes in such a chart would signal institutional activity over retail. Similarly, daily charts showing average trade size can help you pick out when institutional activity is highest, as they have much larger trade sizes.

You could also learn how the algos work and look for evidence one is being used. ie every time price hits VWAP a large sell order goes through would indicate an institutional investor is selling, especially if it happens multiple times in a row.

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You can have a pretty good guess by looking at price pattern and order flow (size of the trades) a) price should be traded in a range b) relatively large size orders, speed.

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