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Lecture 8 Orders Driving Prices Level1 Level2 Time and Sales PDF

The document provides an example of how orders can drive stock prices by listing the current positions and limit orders placed by 10 market participants for a certain company. It shows the number of shares each participant currently holds, as well as any buy or sell limit orders they have placed, including the quantity, order type, and price. It also provides brief definitions of some relevant terms like ticker, bid, ask, spread, Level 1, NBBO, time and sales, and Level 2 order book to provide context around how orders interact with and can influence stock prices on the market.

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136 views

Lecture 8 Orders Driving Prices Level1 Level2 Time and Sales PDF

The document provides an example of how orders can drive stock prices by listing the current positions and limit orders placed by 10 market participants for a certain company. It shows the number of shares each participant currently holds, as well as any buy or sell limit orders they have placed, including the quantity, order type, and price. It also provides brief definitions of some relevant terms like ticker, bid, ask, spread, Level 1, NBBO, time and sales, and Level 2 order book to provide context around how orders interact with and can influence stock prices on the market.

Uploaded by

braetto_1x1
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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Lecture 8

Orders Driving Prices


Example of orders driving prices:
Company name:
Ticker:
Listing exchange:
Shares outstanding:
Float:

Market participant current positions:


Participants Participant Type Position
1 40,000
2 10,000
3 2,000
4 0
5 2,000
6 5,000
7 1,000
8 0
9 10,000
10 5,000

Market participant orders


Participants Side Quantity Order Type Price
1 Buy 3000 Limit 41
2 Buy 5000 Limit 39
2 Sell 5000 Limit 55
2 Sell 5000 Limit 59
3 Sell 2000 Limit 52
4 - - - -
5 Buy 1000 Limit 50
6 Buy 2000 Limit 48
7 Sell 1000 Limit 51
8 Buy 5000 Limit 46
9 Sell 5000 Market NA
10 Buy 5000 Limit 53
Example of orders driving prices(continued):
Ticker: Combination of letters that represent a particular company that is listed on
an exchange.
Bid: (or bid price) Is the highest price that a buyer/bidder is willing to pay for a prod-
uct.
Ask: (or ask price or offer) Is the lowest price that a seller is willing to receive for a
product.

Spread: Difference between the ask price to the bid price.

Level1: Displays the bid and ask prices as well as quantities. This also displays the last
trade executed.
NBBO (National Best Bid and Offer): This represents the highest bid and lowest
ask available on the market.

Time and Sales: Displays every single execution that happens on the market. The
executions are displayed real-time and include information like: time, direction, quan-
tity traded and exchange traded on.

Level2 / Order book: Electronic list of buy and sell orders for a stock. This list is
ordered by price and then by time. The order book lists the number of shares on the
bid and ask at every price point.

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