I've been scanning a thousand symbols and soon came across a lot of illiquid symbols. The first filter I applied to check for liquidity was to keep a low threshold for the bid-ask spreads. That helped. In commodities, I found the bid-ask spreads were somewhat less, but only 20 or 30 contracts were available for sale in some of the options. So, I thought I'd best ask the question here - what are the markers you gentlemen are using for identify and filtering low liquid stocks/symbols
I am sure nobody will answer properly regarding your query. liquidity is a variable, it depends upon the strategy or methodology each person has. Nobody can really find the liquidity; this is the ultimate truth that I hardly understood long ago. I also had to find the liquidity when it comes to algo trading but wasted my precious time on usless terminology.
I will explain briefly here: Liquidity means you can buy or sell easily without needing to wait more, and you can buy and sell at the exact price you want to place an order so it avoids slippages. If an instrument has more liquidity, your transcation will take place very quickly.
I explained only the theory, but the practical side is far different than theory. The market makers, especially HFT and FII, are controlling the market, so the real liquidity they will make and fake also. This means all activities will happen in just a matter of microseconds or milliseconds. As a retailer, we can't identify the liquidity.
Again, simply saying that every retailer is usually keen to find the liquidity in the market by crunching the bid and ask or even depth, etc. These paramaters are actually faking by big players, you don't know which is real paramaters. Even I can spoof market depth easily with my current setup, so then what about big players.
To conclude, if you have more free time, you can check more about the liquidity the term only exists on papers. If you are a stock trader, look at the volume, which is not possible to manipulate. All other parameters are like a toy of smart players. I met some people who were very frustrated with liquidity; they do order flow, depth, or tape reading, but no one till now has found the "liquidity." It is like an oasis.
I've been hoping over hope that some day I'd get a response like this. Whenever I've traded stock options, I have gotten the feeling that that market makers just keep manipulating bid-ask spreads as your limit orders don't get hit
Your last paragraph does give a hint on where to look and that is more than enough. I am glad you wrote this answer, this makes me want to read your past responses on this community. Thank you for taking the time
I will explain briefly here:
Liquidity means you can buy or sell easily without needing to wait more, and you can buy and sell at the exact price you want to place an order so it avoids slippages. If an instrument has more liquidity, your transcation will take place very quickly.
I explained only the theory, but the practical side is far different than theory. The market makers, especially HFT and FII, are controlling the market, so the real liquidity they will make and fake also. This means all activities will happen in just a matter of microseconds or milliseconds. As a retailer, we can't identify the liquidity.
Again, simply saying that every retailer is usually keen to find the liquidity in the market by crunching the bid and ask or even depth, etc. These paramaters are actually faking by big players, you don't know which is real paramaters. Even I can spoof market depth easily with my current setup, so then what about big players.
To conclude, if you have more free time, you can check more about the liquidity the term only exists on papers.
If you are a stock trader, look at the volume, which is not possible to manipulate. All other parameters are like a toy of smart players. I met some people who were very frustrated with liquidity; they do order flow, depth, or tape reading, but no one till now has found the "liquidity." It is like an oasis.
Your last paragraph does give a hint on where to look and that is more than enough. I am glad you wrote this answer, this makes me want to read your past responses on this community. Thank you for taking the time