Introduction to Trade Concentration
QUICK DEFINITION: Trade concentration is when a single trader generates a significant portion of all overall prints from one side of the market in an attempt to push prices higher or lower.
Layering and spoofing involve misrepresenting supply or demand using unfilled orders. It is also possible to misrepresent supply or demand using completed trades.
So called “momentum ignition” or “ramping” strategies involve a single trader generating a significant portion of all overall prints from one side of the market in an attempt to push market prices higher or lower, when there is no news event or other obvious reason for the activity.
Detecting Trade Concentration
Surveyor’s trade concentration filter detects these events by looking for instances where:
- An account is on the same side of a significant portion of all market prints in a symbol,
- In a time window that varies based on the symbol’s overall daily volume, and
- The market price moves away from the account’s activity (up for buys, or down for sells) during that time window
