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I discovered something rather unusual when I entered my buy order for a particular counter today. My bid price was one bid higher than the last bid price and so I would expect my order to be in the front of the queue. It was not, there were x numbers of buy volume in front of me at the price I bid. I then re-enter a new price at one bid higher than the last and when I submit my order, the same x numbers of buy volume was in front of me again. Not convince, I tried again by submitting a new order at a one bid higher price and the same thing happened, the same x numbers of buy volume was in front of me.

I then removed my order. And guess what? That x volume also disappeared.

Anyone has similar encounter?
(27-04-2012, 10:59 AM)Ben Wrote: [ -> ]I discovered something rather unusual when I entered my buy order for a particular counter today. My bid price was one bid higher than the last bid price and so I would expect my order to be in the front of the queue. It was not, there were x numbers of buy volume in front of me at the price I bid. I then re-enter a new price at one bid higher than the last and when I submit my order, the same x numbers of buy volume was in front of me again. Not convince, I tried again by submitting a new order at a one bid higher price and the same thing happened, the same x numbers of buy volume was in front of me.

I then removed my order. And guess what? That x volume also disappeared.

Anyone has similar encounter?

This is interesting. Can anyone shed light on this? I have often experienced shares being placed behind my buy or sell bid as soon as I put them in, not in front as in yr case. They are annoying when the counters are lightly traded. I am not sure if the small SGX is ready for algorithmic/ HFT trading or exotic derivatives? But Spore is a financial hub - retail investors beware.
maybe it is house, maybe it is HFT.
My broker's internet trade view only show there is x number of buy volume but not the order of my bid within that volume. What system are you using to trade?
You increase the bid price by 3 bids and the trade still not done, the spread must be very wide?
My experience is even when i put in my order overnight before SGX opens, i may not get my Buy/Sell orders done. Especially for stocks like Singapore Post, SMRT, SPH. It seems a lot of Ques in front of me. Who are they? Institutional's algorithmic/ HFT computers or what? And this happens quite often. This is where ikan bilis are no match to the sharks. Big GrinTongue
(27-04-2012, 10:59 AM)Ben Wrote: [ -> ]I discovered something rather unusual when I entered my buy order for a particular counter today. My bid price was one bid higher than the last bid price and so I would expect my order to be in the front of the queue. It was not, there were x numbers of buy volume in front of me at the price I bid. I then re-enter a new price at one bid higher than the last and when I submit my order, the same x numbers of buy volume was in front of me again. Not convince, I tried again by submitting a new order at a one bid higher price and the same thing happened, the same x numbers of buy volume was in front of me.

I then removed my order. And guess what? That x volume also disappeared.

Anyone has similar encounter?

Yes, I witnessed something similar before. This is HFT.

I can't remember which counter, but I wanted to sell 10 lots on empty sell queue. Immediately after (same second), something gobbled up my 10 lots at the asking price. I also notice this for some other people's trades (both buy and sell). My counter party was one of the angmo brokerages

Other times, I often saw for example 1000 lots buy queue at $X. Some retail investor decides to sell down 10 lots at $X, but at the same time a buyer places an 10 lot order at one bid above $X so as to bypass the 1000 lot queue. Again HFT gobbled up the 10 lots at $X.
(27-04-2012, 10:57 PM)Temperament Wrote: [ -> ]My experience is even when i put in my order overnight before SGX opens, i may not get my Buy/Sell orders done. Especially for stocks like Singapore Post, SMRT, SPH. It seems a lot of Ques in front of me. Who are they? Institutional's algorithmic/ HFT computers or what? And this happens quite often. This is where ikan bilis are no match to the sharks. Big GrinTongue

For this I have a rough answer.

Firstly, not all houses are the same. For parked orders, your order is queued at your brokerage's system. It should have just cleared the OMS and waiting only to fire the order to SGX when the gateway opens next morning.

I am sure you know that there is a difference between accessing a website in Singapore and another in say Malaysia due to geographic distance. Extra length of wire means extra time even in the millisecond.

The same goes for the brokers. Different connection quality, different OMS performance. All else being equal, whoever is "nearer" to SGX would have the slight advantage be be ahead in the queue.

Into the picture also comes the co-location service offered by SGX. Essentially the broker's systems are placed in SGX's data centre. This means a definite advantage since it is within the same room/building instead of across the island. If your broker has the OMS in SGX's data centre, you have some serious advantage.

Another consideration is the "service plan" that your broker subscribes to SGX. Some have 20 orders per second, others could have 60 orders per second.

Then add in the customer base of your broker. If your broker is Kay Hian or Phillip which has the largest customer base, then naturally they would have a lot of orders to fire.

Where are you in the queue? Supposed you're order 190 and the connection is 60 orders/s. Your order would at best be fired at the 3rd sec simplistically speaking. But if you're with a much smaller assume DMG, you could be order 30, and even with a connection of 20 orders/s, your order would reach SGX on the 2nd sec!

So IT investment by your broker plays a part other than the commission rate. Bear in mind this is only the retail brokers. Investment banks and institutional traders would have invested more into their technology to allow their trades to be executed faster.

AT and HFT are of course another topic and ball game altogether.

For broker assisted trading, you pay higher commission but you get likely faster execution reason being when they place an order, it goes directly to SGX. Compared to Internet trades which is less efficient due to internal flows and needing to clear OMS, etc.

That's the theory behind, and unless there are people who are willing to test the performance of every broker, which offers queue advantage is unknown.

To test this, you need to have Internet trading accounts with a few brokers, prepare the same order at all broker's Internet trading platform, and all hit submit at the same time and then see which order gets fulfilled first. But I'm not sure if every broker takes in overnight orders at the same time after market close though.
If ben repeats his bid submissions using another broker platform and still experience the same x numbers of buy volume in front of his bids, it means the additional bids are added at the sgx server side, likely due to HFT.

Otherwise, it means the additional bids are added at his broker's OMS, likely due to the broker's dealing room taking advantage of its clients' trades. If this is the case, please let us know the name of the lousy broker.
Quite often I saw the bid and offer prices changed systematically and kept repeating it.
e.g. bid 0.655 offer 0.66 , changed to 0.65 and 0.655 respectively , and it revert back again and vice versa.
I can share an experience where i was hoping to sell a stock at higher price in a low volume situation and spend about 1 minute looking at it. As it happens within seconds, someone up the queue 2 pips to buy at my target. I sold to him in seconds and right after, the price stay low for the rest of the day.

There are times in low volume counters which i am familiar with, and some nervous retail investors would oversold 5 pips down due to fear and i would grab them quickly in seconds. And within a minute the price went back up.

(28-04-2012, 11:24 AM)Stocker Wrote: [ -> ]Quite often I saw the bid and offer prices changed systematically and kept repeating it.
e.g. bid 0.655 offer 0.66 , changed to 0.65 and 0.655 respectively , and it revert back again and vice versa.

I seen before. Suspect is the internet connection or program at client side issue. Try re-logging.
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