Really odd orders on the tape...

[GeminiCroquettes 1]

Hi, I was hoping someone might have experienced this before, or may have a better idea of what is going on. On two different days now shortly after open, AMZN has been displaying a constant stream of orders all at the same price, and very different from the "last price". I haven't noticed this on any other tickers so far.

Here is around when the orders start

 

And then around here they ended

And then the same thing happened on the next day, for about the same amount of time. Does anyone know if this is a technical issue or are these trades actually taking place? 

[GeminiCroquettes 1]

I'm going to update this in case someone else sees these orders in the future and finds this post looking for answers.

For anyone who trades the opening 5 minutes, these orders are a huge pain. They completely obscure the tape at times, and are sometimes multiple points away from the last trade price. 

After a very long and completely unhelpful exchange with a very unfriendly DAS support rep, I finally know what these are (I think). They are real orders that are being reported at the time they come through the tape, and by turning "exchange" on in the T/S settings you can see that all these orders were routed through FADF which is a apparently any one of a number of dark pools. So this is why they are coming in way outside of the spread, they were likely executed seconds or minutes earlier, and are only being reported at the time you see them on the tape. 

The solution to getting rid of them, so they don't ruin your ability to judge order flow, is to set T/S settings to only display transactions greater than one share.

[Alastair 110]

Interesting view/interpretation of these orders.  BBT Moderator Paras uses them for a different interpretation, maybe you should run ur views by him on Tuesday and/or Thursday around 10 AM EST.  

He uses the orders to tell him a story abt what is abt to happen.

Edited December 11, 2022 by Alastair

[Martin D 27]

29 minutes ago, Alastair said:

Interesting view/interpretation of these orders.  BBT Moderator Paras uses them for a different interpterion, maybe you should run ur views by him on Tuesday and/or Thursday around 10 AM EST.  

Specifically 1 share dark pool orders? The tape gives a story about what's going to happen but having watched AMZN do this before that's not what was happening, there were thousands of 1 share orders went through at that price for several minutes. As the price traversed up and down through it the orders went from above the ask to below the ask over and over, in other words just noise. 

Given the amount of shares that the market trades I'm not sure anyone can convince me that filtering out 1 share trades is bad.

 

11 hours ago, GeminiCroquettes said:

The solution to getting rid of them, so they don't ruin your ability to judge order flow, is to set T/S settings to only display transactions greater than one share.

Like Thor I run 3 tapes that filter different size trades, I've actually been experimenting with removing FADF from my smaller 2 tapes (retail size). Given the size that participates in dark pools it doesn't feel like I should be bothered with 100 shares on it, doesn't feel like their true intentions. I keep missing Thor's mentorship live but have been meaning to ask him about it next time I make it, will try do it this week.

Edited December 11, 2022 by Martin D

[Alastair 110]

IMHO all data is important.  But by way of this thread, I will ask Paras to comment directly as he is an authentic tape reader (demoed in BBT room many times) and is in the process of dev a focused tape reading course for BBT members. @Sultaan aka Paras Jandwani.

During one of his first tape reading sessions in the BBT room he actually presented this observation.   I will let him respond to this here in his own words...I hope he responds.  Floor is open to you Paras.................

[GeminiCroquettes 1]

I would love to hear from Paras and see what he thinks. When I first made the post I had only seen them on AMZN, but since then I see them on just about every ticker I trade (blue chips) and on nearly every day. I agree all data is important, but the effect these orders have on the tape is really terrible.

10 hours ago, Martin D said:

 there were thousands of 1 share orders went through at that price for several minutes. As the price traversed up and down through it the orders went from above the ask to below the ask over and over,

They will run in a constant stream like that for minutes at a time and all at the exact same price, and so if price is trading near to this price you get the effect Martin is talking about, and the tape will flash back and forth from above ask to below bid and it makes it impossible to tell what is actually happening. If I pause my recorded 

I would love to find a solution that doesn't eliminate data, but the removal of single shares has a minimal effect relative to the negatives that these orders bring.

Also, these orders do show up in sim as well, so if anyone wants to see them these day's for sure have them: 8/22 -AMZN, 8/24 and 8/25 -NVDA, 10/25 -TSLA.

Just watch the first 2-3 minutes on any day and you'll see them. +Here is a clip of TSLA on 10/25, the orders don't stop until 9:32:16. (Please excuse the video quality)

[ngan82 1]

I just posted a similar question and then came across this post. Seems like Paras has another tag @parasbbt which he may respond to!