1

My question is the same, the reply is not what I am looking for. Refer to the below example.

buyer

bid   order qnty

100.1  5    200

100.2  2    300

100.3 10    500

Total Quantity: 1000

seller

bid   order qnty

100.2  5    100

100.3  2     50

100.4 10    150

Total Quantity: 300

At this situation it is found the price is dropping abnormally. Why is it so?

  • 2
    Dropping abnormally? From what level? – Glorfindel Aug 2 '18 at 7:56
  • Because someone is selling into the order book, actively. Book volume != executed volume. – TomTom Aug 2 '18 at 11:16
  • 3
    This order book looks incorrect. You can't see Order book with overlapping on buy & sell side. i.e. The order with 100.2 & 100.3 would have match and not shown up. There are some cases; All or Nothing when one might momentarily see such things. – Dheer Aug 2 '18 at 12:26
  • If price is "dropping abnormally" then that is something that has already occurred because of previous transactions. As Dheer said, the order book looks fishy and may or may not be correct. Despite that, the order book reflects a moment in time and the respective orders at that moment. It has nothing to do with the previous move in the security. – Bob Baerker Aug 2 '18 at 16:10
  • It's common for a dropping stock price to attract a large number of buyers. – David Schwartz Aug 2 '18 at 18:11
2

In every trade, the number of shares bought is equal to the number of shares sold.

If I place a large limit buy order at $100 when the mid is $102, my order is not likely to get executed or have an impact on the price. However, it will appear in the order book and it would be tempting to say "isn't there a large buyer?"

In contrast, if I place a market buy order, I might impact the mid price because I execute with the offers that were in the order book before my order was placed.

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