June Roy Morgan: National and Labour polls How will National and Labour poll in the first Roy Morgans of June? /forum/read.php?13,6629,6629#msg-6629 Sat, 29 Apr 2017 09:15:00 +0000 Phorum 5.2.20 /forum/read.php?13,6629,7413#msg-7413 Re: June Roy Morgan: National and Labour polls /forum/read.php?13,6629,7413#msg-7413
They were so complicated nobody could figure that part out. ;)]]> TraderV Bug Report Mon, 28 Jun 2010 13:11:15 +0000 /forum/read.php?13,6629,7410#msg-7410 Re: June Roy Morgan: National and Labour polls /forum/read.php?13,6629,7410#msg-7410 Legs Bug Report Mon, 28 Jun 2010 06:48:49 +0000 /forum/read.php?13,6629,7369#msg-7369 Re: June Roy Morgan: National and Labour polls /forum/read.php?13,6629,7369#msg-7369 defaultswap Bug Report Thu, 24 Jun 2010 01:37:17 +0000 /forum/read.php?13,6629,7303#msg-7303 Re: June Roy Morgan: National and Labour polls /forum/read.php?13,6629,7303#msg-7303 polaris Bug Report Mon, 21 Jun 2010 21:56:00 +0000 /forum/read.php?13,6629,7279#msg-7279 Re: June Roy Morgan: National and Labour polls /forum/read.php?13,6629,7279#msg-7279 As well someone seemed to be selling the losing stock in what looked like an automatic arbitrage on all the stocks, I could be wrong but that's what it looked like before the prices went to the levels it should have been (only came down a few cents however).

Only made just over a hundred on it annoyingly, trying to get my account back up to pre-uk.election levels. Hope you made something off it.]]> Eclipse Bug Report Sat, 19 Jun 2010 00:42:11 +0000 /forum/read.php?13,6629,7274#msg-7274 Re: June Roy Morgan: National and Labour polls /forum/read.php?13,6629,7274#msg-7274 hidn Bug Report Fri, 18 Jun 2010 07:40:36 +0000 /forum/read.php?13,6629,7273#msg-7273 Re: June Roy Morgan: National and Labour polls /forum/read.php?13,6629,7273#msg-7273
National 50.5 % (National Mid Stock)
Labour 33 % (Labour Mid Stock)
Green 9.5 %
Act 1 %
Maori Party 3 %
United Future 1 %
Progressive Party ^
NZ First 1.5 %
Other 0.5 %]]> Eclipse Bug Report Fri, 18 Jun 2010 06:22:49 +0000 /forum/read.php?13,6629,7237#msg-7237 Re: June Roy Morgan: National and Labour polls /forum/read.php?13,6629,7237#msg-7237 -------------------------------------------------------
>
> When hedging you need to execute multiple trades
> simultaneously, which we can't do with the current
> trading interface; all bids and asks in the order
> book can be (and normally are) executed
> independently.
>

Does the multi-trade fascility cover this off for you?

It seems that I can setup multiple trades, and then execute all of them with a single click now.

Alan.]]> Alan3285 Bug Report Tue, 15 Jun 2010 23:26:33 +0000 /forum/read.php?13,6629,7236#msg-7236 Re: June Roy Morgan: National and Labour polls /forum/read.php?13,6629,7236#msg-7236 polaris Bug Report Tue, 15 Jun 2010 23:18:32 +0000 /forum/read.php?13,6629,7204#msg-7204 Re: June Roy Morgan: National and Labour polls /forum/read.php?13,6629,7204#msg-7204
Quote
Alan3285
I guess we could all sit here and look for abitrage opportunities only, but that doesn't seem to be very interesting or useful in terms of predictions.

Alan, just putting your argument with ECrampton to one side, I'm not sure you understood my post. It's not about arbitrage, it's about hedging. They're different. (I guess you could consider arbitrage an extreme example of hedging where you offset some of your positions against others such that the overall risk is 0.)

You don't need the MM to arbitrage, you simply look at the first order in the order book and the opportunity is either there, or it isn't. It's an either/or situation.

When hedging you need to execute multiple trades simultaneously, which we can't do with the current trading interface; all bids and asks in the order book can be (and normally are) executed independently. The only way around this is small trades against the order book where the bids and asks are near the most recent trade. This is where the usefulness of the MM becomes apparent. There's always somebody (something) ready to trade with you, so you don't need to leave orders up and pray that they're all hit simultaneously.

Having said that, I do of course leave large orders up on mutually independent stocks, and I also leave large orders up on the Roy Morgan stocks when I think the pricing is hugely out of line with what it should be (that's how I built up such a large NAT.VLOW position at an average price of $0.13 - I believe that that was more than a fair price right up to the release of the latest Roy Morgan poll.)

As for MM peg size, obviously the more the better, but as ECrampton pointed out it isn't up to us to decide, it's iPredict who's funds take the cop so it's their call.

Otherwise I agree with all of Ecrampton's points above.]]> hidn Bug Report Fri, 11 Jun 2010 09:31:03 +0000 /forum/read.php?13,6629,7196#msg-7196 Re: June Roy Morgan: National and Labour polls /forum/read.php?13,6629,7196#msg-7196 ECrampton Bug Report Fri, 11 Jun 2010 04:28:48 +0000 /forum/read.php?13,6629,7193#msg-7193 Re: June Roy Morgan: National and Labour polls /forum/read.php?13,6629,7193#msg-7193 -------------------------------------------------------
> Alan, I know what you mean. Would it be better if
> the MM simply switched off altogether, rather than
> offering mostly-pointless 1-stock orders?
>

That is my view yes - I would rather it was not there at all than offering single units.

As a 'second best' alternative, I would like to see it seeded with reasonably large offerings (at least 10 units), but E Crampton implies above that the reason it goes to singles is that it is costing too much - I don't know myself, but he is probably right.

Alan.]]> Alan3285 Bug Report Fri, 11 Jun 2010 03:41:52 +0000 /forum/read.php?13,6629,7192#msg-7192 Re: June Roy Morgan: National and Labour polls /forum/read.php?13,6629,7192#msg-7192 ECrampton Bug Report Fri, 11 Jun 2010 03:40:24 +0000 /forum/read.php?13,6629,7191#msg-7191 Re: June Roy Morgan: National and Labour polls /forum/read.php?13,6629,7191#msg-7191 -------------------------------------------------------
>
> sorry to sound like a newbie, how do you go about
> making a large order of say $50 worth of stocks
> with out pushing up the price?
>

You can't control that - it will depend on the depth of offerings on the board.

It could be that you only take up half of what is offered at the top of the board, or it might be that you are buying up every single stock on offer - it just depends on what is there.

Alan.]]> Alan3285 Bug Report Fri, 11 Jun 2010 03:40:19 +0000 /forum/read.php?13,6629,7190#msg-7190 Re: June Roy Morgan: National and Labour polls /forum/read.php?13,6629,7190#msg-7190 -------------------------------------------------------
> Alan, I know what you mean. Would it be better if
> the MM simply switched off altogether, rather than
> offering mostly-pointless 1-stock orders?
>
> For what its worth, I think it is a common newbie
> mistake to order, say, $50 worth of stock on the
> simple screen and then watch as your order pushes
> the price from $0.40 to $0.70 or something equally
> embarrassing. I know I did it when I first
> started trading during the 2008 election! It
> didn't happen a second time, though. :-)

sorry to sound like a newbie, how do you go about making a large order of say $50 worth of stocks with out pushing up the price?]]> fendt Bug Report Fri, 11 Jun 2010 03:20:13 +0000 /forum/read.php?13,6629,7189#msg-7189 Re: June Roy Morgan: National and Labour polls /forum/read.php?13,6629,7189#msg-7189
For what its worth, I think it is a common newbie mistake to order, say, $50 worth of stock on the simple screen and then watch as your order pushes the price from $0.40 to $0.70 or something equally embarrassing. I know I did it when I first started trading during the 2008 election! It didn't happen a second time, though. :-)]]> pipe42 Bug Report Fri, 11 Jun 2010 03:14:13 +0000 /forum/read.php?13,6629,7186#msg-7186 Re: June Roy Morgan: National and Labour polls /forum/read.php?13,6629,7186#msg-7186 -------------------------------------------------------
> But even absent a thin MM, the last trade price
> isn't sufficient to tell you how much volume you
> can run at that price! You always have to check
> the book, MM or no MM. Best case against MM is
> that it could hide bigger out of money orders that
> are sitting outside of the order book's range, but
> those can always be found either by running the
> book up as far as it currently will go or by
> checking Pipe's API tool.
>

That is not the point though.

It is not about 'knowing' in a literal sense - it is about the chance of finding the book stuffed up with the MM single units and wasting time.

The only other option I can think of right now would be to make it easy to extract the full book across multiple stocks. Unfortunately, that takes far too long at present as we have to pull each one individually, creating a bottleneck of query hits to the API.


>
> Has anyone else here ever been deceived by the
> existence of the MM?
>

How could we know? I suppose we might get at least one 'yes', but what would that mean really?

Or we could get a bunch of 'no' responses in a forum that is frequented by a small minority that are likely self-selecting.

Alan.]]> Alan3285 Bug Report Fri, 11 Jun 2010 02:29:51 +0000 /forum/read.php?13,6629,7185#msg-7185 Re: June Roy Morgan: National and Labour polls /forum/read.php?13,6629,7185#msg-7185
Has anyone else here ever been deceived by the existence of the MM?]]> ECrampton Bug Report Fri, 11 Jun 2010 02:05:35 +0000 /forum/read.php?13,6629,7183#msg-7183 Re: June Roy Morgan: National and Labour polls /forum/read.php?13,6629,7183#msg-7183 -------------------------------------------------------
> @Alan3285: And eliminating MM would do absolutely
> nothing to fix that. Upping MM liquidity would
> fix it; I invite you to find the money with which
> to fund it.
>

If the MM is currently set to single units on a given stock, and was then turned off, the liklihood of a trader being misled by the current best bid / offer would be reduced since all those singles would disappear.

What you might (probably) would see is an increase in the average bid / offer spread and a reduction in liquidity, but that is a price worth paying to get the MM out of the way.

In addition, it woud save IPredict money - I'm saying it would be better gone, than with increased funding.

Alan.]]> Alan3285 Bug Report Fri, 11 Jun 2010 01:56:11 +0000 /forum/read.php?13,6629,7182#msg-7182 Re: June Roy Morgan: National and Labour polls /forum/read.php?13,6629,7182#msg-7182
How much do the 'new information' fears really apply to these stocks at this point? The majority of the polling has already been completed and we're still at least days away from the expected poll release date. What conceivable developments are people worried about?

You don't need to keep the order up for long - place it, advertise it in the forum, and then take it down when you're sick of waiting.]]> defaultswap Bug Report Fri, 11 Jun 2010 01:43:00 +0000 /forum/read.php?13,6629,7181#msg-7181 Re: June Roy Morgan: National and Labour polls /forum/read.php?13,6629,7181#msg-7181 ECrampton Bug Report Fri, 11 Jun 2010 01:39:05 +0000 /forum/read.php?13,6629,7177#msg-7177 Re: June Roy Morgan: National and Labour polls /forum/read.php?13,6629,7177#msg-7177 -------------------------------------------------------
>
> Even if MM weren't there, you'd still have to
> check the bleeding order book to see how much
> thickness was sitting there. Could be 1 share
> left from somebody's prior standing order; could
> be 5, could be 100. Can't tell unless you look at
> the order book.
>

Of course, but if it was just 1 unit left over, and all of the next 10 are at 10 units (say), the effective price for 50 units will likely still be close to what is 'advertised' on the browse screen.

With the MM at single units, it is nowhere near (see my real life example above from this morning, and that is not unusual).

Alan.]]> Alan3285 Bug Report Fri, 11 Jun 2010 01:18:14 +0000 /forum/read.php?13,6629,7176#msg-7176 Re: June Roy Morgan: National and Labour polls /forum/read.php?13,6629,7176#msg-7176
Even if MM weren't there, you'd still have to check the bleeding order book to see how much thickness was sitting there. Could be 1 share left from somebody's prior standing order; could be 5, could be 100. Can't tell unless you look at the order book.

I think the fault's on folks assuming that MM can provide very high thickness around current bid/ask. Not on MM.]]> ECrampton Bug Report Fri, 11 Jun 2010 01:13:43 +0000 /forum/read.php?13,6629,7173#msg-7173 Re: June Roy Morgan: National and Labour polls /forum/read.php?13,6629,7173#msg-7173 -------------------------------------------------------
>
> For more info on why "X is undervalued, so I'll
> buy lots of it" isn't a very good trading strategy
> please see ECrampton's piece on the Kelly
> Criterion. Keep in mind that this assumes that
> the payouts of each of the stocks is independent,
> so if you are dealing with stocks in the NAT.JUN10
> and LAB.JUN10 bundles then things get even more
> complicated.
>

I guess we could all sit here and look for abitrage opportunities only, but that doesn't seem to be very interesting or useful in terms of predictions.

Alan.]]> Alan3285 Bug Report Fri, 11 Jun 2010 00:53:52 +0000 /forum/read.php?13,6629,7172#msg-7172 Re: June Roy Morgan: National and Labour polls /forum/read.php?13,6629,7172#msg-7172 -------------------------------------------------------
> @Alan3285: If you can come up with some funding
> that would allow iPredict to lose MORE money on
> each contract such that the contracts could all be
> seeded to your desired level of liquidity, I'm
> sure the folks there would be all ears.
>
> It's a bit rich to expect infinite liquidity in a
> market that barely even charges trading fees.
>
> I'm interested to hear how exactly the existence
> of the market maker is stopping folks from putting
> in large orders such that, in the absence of MM,
> you'd be able to place a big order against the
> book at terms advantageous to you.
>

It doesn't - you are confusing two entirely separate things.

The issue with placing large orders is if information comes out and you are away from your PC and you get stung. I don't think I introduced this into the discussion?

The issue with the MM (and specifically when it is set to single units) is that it misleads traders as to the effective bid / offer prices for 'reasonable' volumes (say, 50 units or more).

Alan.]]> Alan3285 Bug Report Fri, 11 Jun 2010 00:49:59 +0000 /forum/read.php?13,6629,7168#msg-7168 Re: June Roy Morgan: National and Labour polls /forum/read.php?13,6629,7168#msg-7168
It's a bit rich to expect infinite liquidity in a market that barely even charges trading fees.

I'm interested to hear how exactly the existence of the market maker is stopping folks from putting in large orders such that, in the absence of MM, you'd be able to place a big order against the book at terms advantageous to you.]]> ECrampton Bug Report Fri, 11 Jun 2010 00:02:22 +0000 /forum/read.php?13,6629,7163#msg-7163 Re: June Roy Morgan: National and Labour polls /forum/read.php?13,6629,7163#msg-7163
Sorry, it took me an hour to write the above reply and in that time carnage unfolded. I was assuming Alan3285 and defaultswap were more or less agreeing with each other.

For more info on why "X is undervalued, so I'll buy lots of it" isn't a very good trading strategy please see ECrampton's piece on the Kelly Criterion. Keep in mind that this assumes that the payouts of each of the stocks is independent, so if you are dealing with stocks in the NAT.JUN10 and LAB.JUN10 bundles then things get even more complicated.]]> hidn Bug Report Thu, 10 Jun 2010 23:46:32 +0000 /forum/read.php?13,6629,7162#msg-7162 Re: June Roy Morgan: National and Labour polls /forum/read.php?13,6629,7162#msg-7162 -------------------------------------------------------
> It's not the market maker that's stopping me
> putting in huge orders: it's the fear that my
> putting up a big order makes me a sucker if new
> information comes out and other folks watch the
> market more closely than I do. That said, I have
> 2000 units on order across a bunch of different
> books. Some in the money, some out of the money.
> If you want to count seriously out of the money,
> it's 3000 orders. And about $1600 liquid to back
> them up, so they're not phantoms.
>
> Alan3285: just use the advanced trade mechanism,
> put in your actual "willing to pay" price, and the
> number of orders you're willing to make at that
> price. You'll get the MM orders between current
> price and your bid, then your bid sits for any
> willing takers. If you don't want to do that
> because you're scared information will move
> against you, then why do you expect that, absent
> MM, other folks will leave orders sitting around
> for you to move against?
>

I don't - I would just prefer that the distortions created by the MM are removed.

Solving one problem at a time :-)

If the MM was always set to seed the book with reasonable quantities - 10 at a time is okay I guess - then it woudn't be such an issue, but the single stock thing creates such a misleading bid / offer that it puts off real trading.

Better yet (than just a flat 10 at a time) might be something like 5 for the first 5 bids / offers, then 10 for the next 10, then 20 for the next 20, and so on. That way, if you want to take a reasonably large position, the MM will fill it without the price being too far off what is advertised on the browse screens.


Alan.]]> Alan3285 Bug Report Thu, 10 Jun 2010 23:45:05 +0000 /forum/read.php?13,6629,7161#msg-7161 Re: June Roy Morgan: National and Labour polls /forum/read.php?13,6629,7161#msg-7161
Quote
Alan3285
That's exactly why the MM gets in the way.

If it wasn't there, I'd be in there trading in bulk, and you would be able to liquidate (probably!)

The MM is the reason you are stuck with 1,700 stocks that you can't liquidate without taking a huge bath.

Firstly, no it isn't. There's nothing about the MM that stops you from going and leaving bulk orders for me to hit, Alan.

Secondly, and more importantly, is that there are strong correlations between the probabilities of the different stocks in the NAT.JUN10, LAB.JUN10, and NAT.TAXREF bundles, so it isn't necessarily wise to leave orders up which can be traded independently. Often times when trading these stocks I would choose to mitigate risk by, for example, buying NAT.VLOW and NAT.VHIGH and selling NAT.MID simultaneously, which is effectively a bet that the variance of the probability distribution function implied by the most recent trades is less than it should be. This portfolio could pay out on either a high or low result by National - I'm not betting on high or low - I'm betting on an extreme result instead of a no change. But in order for this trade to work I need to be able to simultaneously trade several different stocks at close to their last trade prices. The MM succeeds at letting me do this, whereas if I were to leave orders in the book then somebody might hit the bid on VLOW and leave VHIGH untouched.

This kind of trading could work if we could leave conditional orders, i.e. a bid of 10 NAT.VLOW @ 6.2c && 10 NAT.VHIGH @ 8.2c, or alternatively a bid of 10 each of NAT.VLOW and NAT.VHIGH for a total of $1.44, but we can't do that. And it's not that complicated either. It's like when I was a kid and offered my brother the Hulk Hogan card as a trade for Andre the Giant, on the condition he washed the dishes for me. We're talking 5-year-old levels of trading complexity, but I'm not even going to leave a feature request because I know that the coding and site redesign needed to implement it would be prohibitive.

Back to the MM though, looking at the NAT.MID stock it has had a volume of 8151 shares, and assuming that the market maker is responsible for 80% of trades, as mentioned by admin on the MM explanation article on the blog, then that's about 6500 shares that the MM has bought or sold, and yet the price has only moved from $0.3854 on April 16 to $0.4174 now. That's only 3c over two months on a volume of about 6500! It's clear that the MM is not screwing with anybody's trading strategy, it merely offers liquidity and the ability to make instant trades and near-last-trade prices. That's why it's so important for anybody with a trading strategy more complex than "X is undervalued, so I'll buy lots of it."]]> hidn Bug Report Thu, 10 Jun 2010 23:33:03 +0000 /forum/read.php?13,6629,7159#msg-7159 Re: June Roy Morgan: National and Labour polls /forum/read.php?13,6629,7159#msg-7159
Alan3285: just use the advanced trade mechanism, put in your actual "willing to pay" price, and the number of orders you're willing to make at that price. You'll get the MM orders between current price and your bid, then your bid sits for any willing takers. If you don't want to do that because you're scared information will move against you, then why do you expect that, absent MM, other folks will leave orders sitting around for you to move against?]]> ECrampton Bug Report Thu, 10 Jun 2010 23:29:12 +0000