Retail vs. Institutional trading data/analysis

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Lucky C
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Retail vs. Institutional trading data/analysis

Post by Lucky C »

A lot of professional investors gain insights on how retail investors are trading vs. institutional investors. For example, I read that Friday's rally at the close to end up +9% was driven by retail investors - makes sense if they were mainly reacting (over)enthusiastically over Trump's announcements. Does anyone track these differences between retail vs. institutional activity and are there any good free resources? If there isn't any free data available online, are there any good articles, studies, or books on the subject?

jacob
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Re: Retail vs. Institutional trading data/analysis

Post by jacob »

This is a bit outside of what I've dealt directly with back in the pro-days, but institutional trading is often guided by https://www.investopedia.com/terms/c/cta.asp ... and if you know (pay) enough of them, you'll have a good idea of what the big professionals are doing. Tradewise, institutional funds outsource their trading to other companies (unless they're big enough to have their own trading division) that deal with block trading. (ETF redemption mirror this issue.) The patterns of block trading can be detected (it's really hard!) in level 2 data. Naturally, these patterns are something block traders are trying to hide as much as possible. "How to buy 500,000 shares in GE" w/o giving away your intentions and having traders front-run you is a non-trivial problem.

You can find a bit about the trading methods in this "classic" although I doubt you'll find anything actionably useful in there:
https://www.amazon.com/Algorithmic-Trad ... 956399207/

PS: It's funny how some people are blaming all this volatility on algorithmic trading. Insofar I know anything about that, these guys all went on vacation when this started. (You can see this in the option markets---this is mostly driven by algos---where spreads are mostly infinite ... only quotes that remain are 0.00 and something ridiculously high because remaining market makers are required to post something because of regulations.) OTOH, human traders are celebrating xmas every single day these past couple of weeks.

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