RAC - Charts & Price Action, page-10078

Hey @mcseamus88

"Isit correct to assume all trades fewer than 150 are bots?"

That's an interesting question. The 150mark is arbitrary and based on my observations over a year of trading activity,but it’s not excluding that tiny parcels can be legit, e.g. partial fill orjust a small investor (and this is probably what’s happening at 11:56:48 AM).

With that being said, when there are patternsthat scream “BOT” loud, it is hard to ignore. For example:

Clustering
Looking at the dataset, small parcels tend to beclustered when there is little activity otherwise. Essentially, small ordersmostly appear when no one is trading and there is indecision, and disappearwhen volume comes back. This pattern is inconsistent with partially executedorders where a single small parcel should, on the contrary, almost immediately precedeor follow a larger parcel. Here I have highlighted the bot in yellow showingthe propensity for clusters:

Divergencefrom the mean

In theory, both groups (bots and legit) shouldconverge toward an average impact on price, but the absolute opposite ishappening: we can observe that statistically, small orders tend to decrease theprice, and larger orders tend to increase the price. In the above dataset: “bots”= -15c, “legit” = +5c.

Priceimpact

In theory, the smaller the order, the lowerthe chance of crossing into a different price level, right? But look at thedataset: ~42% of small parcel orders triggered a price change, and only ~32% forlarger parcels.

ON/OFFpattern

It is funny how those smallparcels tend to magically disappear on high-volume days. It looks likesomeone is turning the tap ON/OFF on demand!

Hope this makes sense! I, for one am really looking forward to $5 streaks for RAC SP in 2022.

HNY everyone