关于market maker 和paper 的疑惑

happywacom

如果institution paper sell 然后 market maker接的话， 那么market maker 怎么赚呢，  比如market maker 看出来大机构GS在sell， 他们还要接， 那么他们不是明摆着要lose money吗，  疑惑中

csw2002

(1) institutions are not necessarily on the same side. More often than not, you will have say GS on the buy side and Swiss on the sell side. In any case, you don't know whether it is the institution that is doing the buying or selling or institution's client that's doing buying or selling.

(2) institutional clients (aka hedge funds) could be very wrong. No 1 in the pit thrives in the pit squeezing institutions and forcing them onto their buy/sell stops. We saw it today (10th of Nov) when the initial orders were all sell papers and locals went long. They didn't succeed the first 2 times, but eventually got the market to bid and forced market up. Quite  a few paper buy orders then came in to cover.

(3) locals can simply on-sell paper orders via e-minis. If they have a bearish leaning (for example, 9th of Nov), they went short in the afternoon, and they were hit with massive paper sell orders. Instead of covering short, they bought the paper orders and flipped them via e-minis which would help their short cause.

ppteam

LOL

What is market maker? Unlike most people think they are bunch of evils who always screw up bears, always set up traps for individuals and always manipulate markets, their primary job is to make a market.

ppteam

you gonna love conspiracy theory.

happywacom

thank you !!

(1) institutions are not necessarily on the same side. More often than not, you will have say GS on  ...
csw2002 发表于 2010-11-10 22:07

marketstudent

(1) institutions are not necessarily on the same side. More often than not, you will have say GS on  ...
csw2002 发表于 2010-11-10 22:07

For item (3), Since locals and papers are both selling, who is buying then? Are they using electronic trading?  Is the paper buy/sell judged from traders' body language?  I can't imagine a room of traders making gestures to complete transactions.

csw2002

For item (3), Since locals and papers are both selling, who is buying then? Are they using electroni ...
marketstudent 发表于 2010-11-10 23:13

Locals would buy from paper and then flip the position via e-mini. They would retain their original short positions until they decide to cover either on paper buy stops or via e-mini.

trade28

thx

jpm

回复 8# trade28


    There are no market makers in e-minis, only naked buy/sell orders, which was the direct cause of the 5/6 flash crash.

jpm

回复 9# jpm


    Well, I should say, all the traders day trading e-minis acted as market makers.

watchman

我来说说我的体会吧：

1）市场是一个合力的结果，没有谁有绝对优势。
但要看到，一些大mm和大fund，的确有一定的操纵能力和判断优势。
我们看spx pit信息（就是spx 大future market，区别emini market），
就是试图trace这些大mm的动向。
这当然是很难的事情，因为你不知道这些单子到底是客户的单子，
还是mm本身的单子。但是mm本身动作很大，不是小散户，大规模
转身，肯定会有蛛丝马迹。这就需要对pit信息长期和持续的观察分析。

2）简单的说，paper也就是大家通常所说的MM或者大fund，
而local就理解为反着做的市场力量。local的操作，主要类似于day trader，
以日内差价为目标，local不会形成趋势。paper的操作，至少是会影响几天甚至
几周的行情，改变和维持趋势，应该是主要靠paper的操作。所以你基本可以
忽略local的动作，专心关注paper的操作。
（个人理解，或许有不准确的地方）

3）paper内部也有意见分歧，也有水平高低。这是正常的。如何正确解读
paper的操作，这是见真功夫的东西。需要大家在实践中总结发现。

我举个例子吧。这一波上来，中间除了偶尔几天有小paper在卖，基本上
paper的主要动作是买，所以形成一波大牛行情。但从前天开始，以
gs，ml等几个大mm开始大规模卖，昨天早盘paper继续卖，虽然后来
市场反弹了，但这个反弹没有太多mm参与，属于dead cat rebounce。
结果今天大盘继续跌，paper继续卖。所以，应该可以得出结论，
mm认为市场见顶了，该调整了。即使市场反弹，也是死猫反弹。

当然，这个调整会多深，从pit信息是看不出来的（其实也是可以看出来的，
关键需要csw同学有牺牲精神，要认真记录交易笔数，不能有太多遗漏，特
别要注意大单的数量，然后每天总结一下，给大家汇报一下。我
们这些人可以做每周和每月的总结。这对csw是一个比较
苛刻的要求，我自己试着听过pit信息，才跟了几天就受不了，因为根本
没有办法正常交易，完全被pit绑住了）。

结合TA，我推测这波应该至少是5%的调整（暂时不会影响大牛市的总趋势）。
结合以前的经验，市场在顶部通常会继续震荡一段时间，这段时间如果没有mm的参与，
最后都会向下突破。所以我们的操作策略也很简单：以卖出清仓为主，不要随便抓反弹。
大势即使反弹，也是卖出的机会。什么时候买进，等等看吧。

4）我们上面的结论会不会错，当然有可能。炒股谁敢说100%。
你实在不放心，就把pit信息当作一个技术指标吧，结合自己原来的系统，
综合考虑。

我个人经验，pit信息即使不是高度准确，至少比大伙通常看的那些指标
比如cpc，超买超卖什么的都准。没有叫板的意思，只是举个例子想说明，
把pit信息当作一个重要指标，还是很有价值的。

我自己观察的一些结论：
a）如果paper很少卖出，那么不管市场如何涨，如何超买，市场还是会继续涨。
你也不要傻乎乎的作空。
b）如果paper疯狂卖出，那么不管市场如何跌，如何超卖，市场还是会跌，
你不要傻乎乎抄底。
c）如果paper意见分歧，有卖有买，那么市场通常是小调整。这个调整如何发展，
还是要看谁力气大。
d）最精彩的市场是看几个paper斗法，最后一方被另一方逼着爆仓。这种市场，
既有趋势，又有调整，非常精彩。

happywacom

感谢watchman的总结哈， 学习了

wolfdoctor

我来说说我的体会吧：

1）市场是一个合力的结果，没有谁有绝对优势。
但要看到，一些大mm和大fund，的确 ...
watchman 发表于 2010-11-11 10:34

很久没有看到老大的精彩报告了
多谢啦！

blackrock

Thanks.

jpm

回复 14# blackrock


With the rise of High Frequency Trading, institutions don't have to rely on sending orders to the SP pit as much as they used to be. A lot of ES day traders now turn to some software like FootPrint chart from MarketDelta to monitor information on institution buying and selling at intraday market reflection points.

X中国陆军

phoenix

我来说说我的体会吧：

1）市场是一个合力的结果，没有谁有绝对优势。
但要看到，一些大mm和大fund，的确 ...
watchman 发表于 2010-11-11 10:34

    谢谢大侠的总结。你看到大家对你的呼唤吗？http://www.hutong9.net/viewthrea ... page%3D2&page=1

watchman

High Frequency Trading应该不会影响市场趋势，它属于比day trading还短的多的操作。
它会影响成交量，但不会改变市场一天以上的趋势。

回复  blackrock
With the rise of High Frequency Trading, institutions don't have to rely on se ...
jpm 发表于 2010-11-11 18:15

watchman

我今年特别忙，没时间多发言，会一直忙到明年初。所以请大家见谅。
我尽量争取在市场拐点给大家提个醒。

谢谢大侠的总结。你看到大家对你的呼唤吗？
phoenix 发表于 2010-11-11 19:45

happywacom

期望多多指导