Animated example of Mr Coscia’s
trading

1

0

-20
80
180
280
380
480
580

Price
Lots buy/sell

Time (milliseconds)

An example of Mr Coscia's trading (00:00:00.000 to 00:00:00.609)

Cumulative Buy Orders
Cumulative Sell Orders
Mid Price
Trade Price
Mr Coscia Sell Order Price
Mr Coscia Buy Order Price

0

Buy order for 17 lots @115.86

Cumulative buy order positions
shown by the blue line


The chart explained:
• horizontal axis shows the timing of the trades in milliseconds
• right hand vertical axis shows the price of the Brent
contracts
• left hand vertical axis shows the lot size of orders to buy or
sell

time and price Mr Coscia’s buy orders

cumulative size of Mr Coscia’s buy orders

cumulative size of all buy orders in the market within five ticks
of the best bid

time and price of Mr Coscia’s sell orders

cumulative size of Mr Coscia’s sell orders

cumulative size of all sell orders in the market within five ticks
of the best offer

changes in the mid price (average of the best bid/offer price)


2

0

-20
80
180
280
380
480
580

Price
Lots buy/sell

Time (milliseconds)

An example of Mr Coscia's trading (00:00:00.000 to 00:00:00.609)

Cumulative Buy Orders
Cumulative Sell Orders
Mid Price
Trade Price
Mr Coscia Sell Order Price
Mr Coscia Buy Order Price

3 large sell orders:

• 122 lots @ 115.89

• 85 lots @ 115.88

• 54 lots @ 115.87

Cumulative sell order position is shown by
downward movement in the red line

0

3

0

-20
80
180
280
380
480
580

Price
Lots buy/sell

Time (milliseconds)

An example of Mr Coscia's trading (00:00:00.000 to 00:00:00.609)

Cumulative Buy Orders
Cumulative Sell Orders
Mid Price
Trade Price
Mr Coscia Sell Order Price
Mr Coscia Buy Order Price

Buy trade triggers cancellation of all 3
large sell orders

Shown by the upward movement of the
red line

Buy order for 17 lots traded @ 115.86 in
two shapes (3 and 14 lots)

Shown by the downward movement in
the blue line

0

0

-20
80
180
280
380
480
580

Price
Lots buy/sell

Time (milliseconds)

An example of Mr Coscia's trading (00:00:00.000 to 00:00:00.609)

Cumulative Buy Orders
Cumulative Sell Orders
Mid Price
Trade Price
Mr Coscia Sell Order Price
Mr Coscia Buy Order Price

Sell order for 17 lots @ 115.88 (2 “ticks”
higher than the purchase price)

Shown by the downward movement in
the red line

0

5

0

-20
80
180
280
380
480
580

Price
Lots buy/sell

Time (milliseconds)

An example of Mr Coscia's trading (00:00:00.000 to 00:00:00.609)

Cumulative Buy Orders
Cumulative Sell Orders
Mid Price
Trade Price
Mr Coscia Sell Order Price
Mr Coscia Buy Order Price

3 large buy orders:

•
99 lots @ 115.82
•
88 lots @ 115.83
•
122 lots @ 115.86

Shown by the upward
movement in the blue line

0

6

0

-20
80
180
280
380
480
580

Price
Lots buy/sell

Time (milliseconds)

An example of Mr Coscia's trading (00:00:00.000 to 00:00:00.609)

Cumulative Buy Orders
Cumulative Sell Orders
Mid Price
Trade Price
Mr Coscia Sell Order Price
Mr Coscia Buy Order Price

0

Sell order for 17 lots traded @ 115.88.

Shown by the upward movement in the
red line

Sell order trade triggers cancellation of all 3
large buy orders

Shown by the downward movement in the
blue line

7

0

-20
80
180
280
380
480
580

Price
Lots buy/sell

Time (milliseconds)

An example of Mr Coscia's trading (00:00:00.000 to 00:00:00.609)

Cumulative Buy Orders
Cumulative Sell Orders
Mid Price
Trade Price
Mr Coscia Sell Order Price
Mr Coscia Buy Order Price

0

The bid/ offer spread and the mid price
moves up after the large orders are placed

Shown by the upward movement in the
green line

Mr Coscia’s small sell order then traded at a
higher price resulting in a profit of USD 340

The bid/offer spread narrows and the price
moves down after the sell orders are placed

Shown by the downward movement in the green
line

Mr Coscia’s small buy order then traded at a
lower price

0

-20
80
180
280
380
480
580

Price
Lots buy/sell

Time (milliseconds)

An example of Mr Coscia's trading (00:00:00.000 to 00:00:00.609)

Cumulative Buy Orders
Cumulative Sell Orders
Sell Order market depth
Buy Order market depth
Mid Price
Trade Price
Mr Coscia Sell Order Price
Mr Coscia Buy Order Price

0

Mr Coscia’s large orders have a
significant impact on the market as
they make up a significant proportion
of the market depth. This is assessed
by comparison to all other orders in
the market to buy or sell within 5 ticks
of the best bid or offer price.

Mr Coscia’s sell orders respectively make up
84, 89 and 87% of all sell orders in the market
within 5 ticks of the best offer price

Mr Coscia’s large buy orders respectively make
up 64,77, and 87% of all buy orders in the
market within 5 ticks of the best bid price