Apr 042017

Every once and a while I’ll see a weird market anomaly which happens when the price action will go in a certain direction and the cumulative delta of bid/ask traded will do the out of the ordinary. Like Natural Gas today for example. The price action was straight up but the delta is showing that almost all orders were filled on the bid when usually you would see the ask being hit the majority of the time. The study on the bottom tracks how the order was filled which we can see that around 4000 contracts more were filled on the bid than the ask.

Usually with a big rally you will see the traders “Lift the Ask” but in this scenario we see them hit the bid. Something just keeps stacking limit orders and then as the ask gets dragged down the order fills on the bid. I’m not to sure how it works but I have noticed this in the past and I think it has something to do with the terminator computers. If you know what causes this occurrence please let me know. I have seen this done following a huge sell off in the ES futures and then we saw this type of price action as it went into a multi-day huge rally.