At 11:22 AM today, I see ONGC showing a sudden gap down in 1 min. chart. How come the price levels in between got skipped?

ONGC_14Sept2020_TimeAndSales_00

ONGC is an indexed stock, typically for these stocks, the spread is 0.05 like all the time,

  1. I wonder how come there is a gap in the intraday price action (1st image) after 11:21 AM ?

  2. Also, In the time and sales tape (2nd image) it is clearly visible that a huge qty transaction happened at the price level of 74.00
    After which there was an immediate reversal from that level. Also there were large number of sales qty around that price level slipping down to upto ~ 73.85 price levels.
    Was this a SL hunt for weak-longs ? If it was not, how come there is no foot-print of the intermediate price levels?

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  1. It’s possible as ONGC is cheap and illiquid.
  2. I am not sure but this can be pre arranged bulk/block deal

Big market order exactly at end of 1 minute candle

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tradingview ticks are 1 ticks per second and hence, the data in micro seconds does not get reflected. Data in indiian markets are not very speedy. If you see US market data and their graph and how many ticks they get per second you will find out that we are very laggard in this.

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Hello Vishnu, Thanks so much for your response.
That was my first anticipation as well, but i wonder how can a large order cause missing hits on the best offers/bids that appear at the top on each side of Level2?

Hi Saurav,
Thanks so much for your reply, this sounds most convincing, but here are two additional cents:

  1. The gaps on intraday chart can clearly be seen also on the broker provided platform, e.g. Zerodha, Fyers etc.
  2. Although on the plots it’s understandable they can be missed, but how come in the time and sales tape as well the same thing appears, and also if I look at the candle widths of these two candles there is a missing price point in the width which indicates a clear slippage of the price point in between.

I wonder if there is something missing in my understanding about the flows ?

Actually explanation by all three are ok.

This may not be bulk deal as per the rules (certain % or threshold to be called bulk deal)
But it certainly was huge Market order exactly at the candle end.
The quantity was huge and add to that no bids were there to fully absorb the quantity.
So it went down 2-3 ticks.

Also gaps do happen in illequid stocks even in intraday charts.

And yes Indian market as a whole is quite illequid as compared to developed markets. ONGC is illequid in the same sense. While today SBIN volume was 5 croce, ONGC was just 88 Lakh.

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  1. Yes, because all the brokers use similar charts (Tradingview) and same data feed as provided by NSE which may not be the fastest. Some data vendors in India do provide real time fast streaming data (haven’t used them though) but the cost is high.
  2. Time and scale, i don’t much of an idea about it but what i can infer from the image is that they provide quantities traded at the given time. If thats the case then also its providing in a interval of 1 sec. What if someone placed market order of 2 lakh share in between 11:22:00 and 11:22:01, the price would drop suddenly and Time and scale would also give LTP at the end of the second only.

If you want to see the data speed in US watch this video and you will get to know what we are missing.

Brother in ‘some’ stocks & on some days particularly algos (HFT’s/AI Driven System’s whatever you call it) are predominantly present and the Bid/Asks are mostly artificial and they play the dancing game of up/down depending on what they want to do and as per the market sentiment or in tandem with the index. It’s not unusual for them to skip a few steps up/down when large market orders are placed.

Even in normal day’s if one pays attention one see that prices move up/down with just 20-30% of the bids/asks being taken out and when in momentum it can be as little as 5-10% of the overall bid/ask quantity, while on other days movement could be utterly sluggish even with orders (executed volume) higher than what is seen in the bid/ask panel (due to hidden orders). It’s an entirely different and vast topic of discussion but everything depends on overall no of market participants, their orders, sentiments and of course the algos (strategies) etc assigned to that particular stock. :slightly_smiling_face:

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from where we can see last trades and their quantity

if u can please state how to get time sales data posted by u

I tried posting that multiple times, but Zerodha’s platform won’t allow me to do that. You can connect with me on Twitter: @alakhpurush, we can talk there! Thanks for understanding. :slight_smile:

I tried posting the same multiple times, but Zerodha’s platform won’t allow me to do that. You can connect with me on Twitter: @alakhpurush, we can talk there! Thanks for understanding. :slight_smile:

You are posting referral links, which is promotion and against community guidelines.

Thanks so much Gautam, for taking the time out and writing that out here! Appreciate it, definitely adds value in the perspective. :slight_smile:

Thanks for the writeout maddy! :slight_smile:

Thank you sourav, this definitely adds value! :slight_smile:

That’s fyers which has T&S data.