Creating Gap-downs by Hitting Bids?

[RobinHood 10]

I've just spent the past 7 hours glued to the Schatz, Bobl and Bund DOMs...

 

If we have 10,000 bids spanning over 10 levels (eurex) and someone attempts to sell 10,000 @ market is this what will create a gap-down? - the price will jump right down to the 10th bid level and show 10,000 filled there?

 

 

or will the chart still show every level being filled? E.g. if there is 1,000 bids in each level so 1,000 contracts traded at each tick and this will show up on chart. as price rapidly jumping down through 10 levels with the 1,000 vol.

 

Also, have any of you experienced a nasty intraday gap-down where you were leveraged long?

 

 

BTW are there no books on market mechanics? how each player operates? what their goals are? who is usually showing their hand?

Edited August 29, 2008 by RobinHood
framed the question really badly.

[RobinHood 10]

Also,

I was just thinking what are the chances of every single person withdrawing a bid?

 

even during an important announcement surely there will always be one careless person who leaves in a buy limit? on a chart it will show as price being traded there but it is hardly the case as not much volume would be transacted at that point.

 

I don't have access to historical intra-day data at the moment so the only way I can find out is ask people, or keep watching the tape...

[Guest forsearch]

I've just spent the past 7 hours glued to the Schatz, Bobl and Bund DOMs...

 

If we have 10,000 bids spanning over 10 levels (eurex) and someone attempts to sell 10,000 @ market is this what will create a gap-down? - the price will jump right down to the 10th bid level and show 10,000 filled there?

 

 

No.

 

or will the chart still show every level being filled? E.g. if there is 1,000 bids in each level so 1,000 contracts traded at each tick and this will show up on chart. as price rapidly jumping down through 10 levels with the 1,000 vol.

 

 

Correct.

[Guest forsearch]

Also,

I was just thinking what are the chances of every single person withdrawing a bid?

 

even during an important announcement surely there will always be one careless person who leaves in a buy limit? on a chart it will show as price being traded there but it is hardly the case as not much volume would be transacted at that point.

 

This happens before important news announcements like an econ number, FOMC rate, etc...

 

Best to step aside until the market decides where it wants to go.

[BlowFish 10]

As for books search for market microstructure. I like Harris but hear O'Hara is great too. Guess i'll get round to that one day.