Identifying "stocks in Play" As SMB Prop Firm Would Call Them?

[lastninja2 10]

Hi there,

 

Never bothered to trade or even watch any stocks - recently decided to remedy that and set aside some time for investigation.

 

Proposal:

Using third party software to consolidate my ninjatrader time&sales, I am thinking to stare at the time&sales for whatever US stocks happen to be "in play" that day.

 

By "in play", I mean likely to attract institutional buying/selling on the back of pre-market news or what have you.

 

Just to satisfy my curiosity, I will be staring at the T&S for a particular event:

large market orders of peculiar size being repeated in quick succession.

I stumbled upon this random idea on another trade forum - one of the posters suggested that it might signal the disguised actions of a specialist acting on behalf of more than one large client.

 

Whether the idea is credible, I've frankly no idea - but happy to watch and make some conclusions based on actual observation rather than speculation.

 

Would welcome ideas on the following:

 

1) Thoughts on the concept

2) Methods or websites that would help in identifying potential "in play stocks" - preferably smaller caps to reduce noise on the T&S.

 

Thanks in advance if anyone has any input

[BlueHorseshoe 10]

Hi there,

 

Never bothered to trade or even watch any stocks - recently decided to remedy that and set aside some time for investigation.

 

Proposal:

Using third party software to consolidate my ninjatrader time&sales, I am thinking to stare at the time&sales for whatever US stocks happen to be "in play" that day.

 

By "in play", I mean likely to attract institutional buying/selling on the back of pre-market news or what have you.

 

Just to satisfy my curiosity, I will be staring at the T&S for a particular event:

large market orders of peculiar size being repeated in quick succession.

I stumbled upon this random idea on another trade forum - one of the posters suggested that it might signal the disguised actions of a specialist acting on behalf of more than one large client.

 

Whether the idea is credible, I've frankly no idea - but happy to watch and make some conclusions based on actual observation rather than speculation.

 

Would welcome ideas on the following:

 

1) Thoughts on the concept

2) Methods or websites that would help in identifying potential "in play stocks" - preferably smaller caps to reduce noise on the T&S.

 

Thanks in advance if anyone has any input

 

I have no thoughts on whether the concept is sound or not, but wouldn't you be better looking at a more automated and mechanical way of doing this, rather than 'staring at a screen'?

 

It's perhaps not much good looking at volume of executed trades (as this may alert you too late), but why not just sum the depth of book and have some sort of average or threshold to reference against? Two other thoughts:

 

1. You could net off orders of a smaller size from the above (although this could be dangerous as you might miss icebergs etc).

 

2. This is purely a guess, but mightn't someone wishing to work a large order in a less liquid stock need to do so across multiple exchanges? If that's true, then you could include a requirement for that in your "in play" criteria.

 

Hope that helps.

 

BlueHorseshoe