Been easing in to a thinly traded (though broad based) ETF.
1. Average volume figures may be worthless. This fund had what may have been a heartbeat blip on a single day large enough to bring the monthly/3 month average volume up into six figures.
2. Daily volume figures may be worthless. Some days, trade volume spikes (near six figures) in literally the last minute of trading (3:59PM plus a few seconds). That could be authorized participants swooping in to pick up mispriced bids (or asks). With such low volume, it may not be worth their while to nickel and dime during the day but go for everything at once. Just a guess. Doesn't seem to happen when markets have been fairly stable through the day.
3. My objective is to move some money from an OEF (priced at close of market) to this ETF. To make a sort-of-simultaneous trade, I should violate the "don't trade near close" rule of thumb. By making a bid near but not at the top of the outstanding bids, I can hope that there is this last minute flurry of activity and that it is the bids (not the asks) that the APs go after.
How does one track the IIV (intraday indicative value) of ETFs generally? I know that some fund sponsors post this on their websites but I'm looking for a more general solution. (I'm using a broad based, high volume ETF in the same space as a proxy for the trend.)
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A also bought a heavily traded short term fixed income ETF.
Price fluctuated a couple of pennies. I finally figured that it wasn't worth a lot of effort to save a few bucks on the whole transaction.
No takers on my bid a penny below market price. I could have waited and never gotten my order filled. I could have bid a penny higher. Instead, given the stability of prices and the near certainty that the price wouldn't be more than a penny higher, I placed a market order. Got that filled at just 1/3 penny above my original bid. This approach only seems good for very stable prices. Still, I watched the current price as a pushed the "place order" button.
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Level II quotes:
I've been looking at Fidelity Active Trader Pro and ToS. I'm not impressed with either, because they both seem to give incomplete listings. (I'm looking at the thinly traded ETF, so this isn't a question of there being too many offers to display all of them.) Fidelity's platform shows the actual number of shares in the asks and bids, while ToS only shows units of 100's. So while Fidelity might show a bid for 116 shares, ToS shows 1 (i.e. 100) bid.
This whole process seems similar to school classes. No matter how much you study, if you don't do the exercises, you won't really get a feel for the material. I'm still "practicing".
