How/where can I get the net buy volume, or buy% like data?

Thanks,
jg

There really is no such thing. For example, on stocks, each "trade", is both a buy and a sell (someone purchased the stock from someone who sold it). Some people will use Level II data or just watch to see if trade come in at the bid or the ask to get a feel for if an issue has more buying or selling pressure.

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Jay Froscheiser
DTN - Trading Markets

The net buy volume is defined as sum of volulmes traded at ask. Dont know if it is useful infomation for trading as I just begin to explore it.

Thanks,
jg

I just added this capability to my program. By retrieving the day's worth of tick data (or continually monitoring it by watching the symbol), you can keep a tally of this.

I'm using it with options to measure whether there was buying or selling pressure at a particular strike. Ocasionally, you'll see a bizarre strike get lots of volume--by looking at whether the bid or ask was hit you can gain some insight into what the "big guys" are doing.
Edited by FullyArticulate on Apr 27, 2006 at 08:01 PM

"my program", is it your own program or DTNiq? Have you found the net buy volume useful?

It's my own program built on top of IQFeed (IQfeed provides the data, I chart, track portfolio, etc and use IB for trading). Eventually, I'd like to offer it commercially, but it needs some more polishing first. :-)

At the moment, I'm generating 5 stats (which I've made up):
Bull % = What percent of trades went off at > (bid+ask)/2
Bull Pwr = Bullishness * contracts traded (Bullishness is % between bid & ask the trade went)
Volume Pwr = Volume Today / Open Interest
Bear %
Bear Pwr

You can find some extremely unusual options activity with these stats. For example, you'll see cases where 20x the open interest trades in a single day, and 95%+ were traded at the ask. *Thats* interesting. :-)

There may be more useful stats. For example, I was thinking Bullishness should be -1 if the trade went off at the bid, and +1 if it wen't off at the ask (rather then 0 to +1 now). I need more experimenting.
Edited by FullyArticulate on Apr 28, 2006 at 03:06 PM

Very interesting. For the iqFeed, how many stocks can you follow? 500 max?

Have you back tested your indicators?

I am thinking about using it for my stock trading. I want to identify stocks which has big institution buyers. One possible way is to identify trades with big lot of volumes, and hit ask price or so.

I have a program that has a Tick Trend Window that graphs the volume of the last 40 trades on a symbol and where traded re bid/ask. You can see it at
http://www.iqxp.com/page9.html - I have found the graphs helpful especially when in a selling position. It catches trends even before they show in the price. The graphs are based on the TradeWindow in IQXP that Dan Zanger had me create for him, except it has memory of the last trades illustrated by the histograms.

The IQXP Program is in the ending stages of beta testing (going on 3+yrs now...) and is available for free during this period. It will eventually be a subscription program. I am working on a new release that should be available for test in a few weeks.

David

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IQXP Software
http://www.iqxp.com

LiveWire Update Service
PO Box 1417
Fairfield, IA 52556
641-472-8393
http://www.livewire-cablesoft.com/

I've been running a search after the market closes to reveal trade opportunities for the next day. In options, at least, these sorts of huge volume purchases tend to precede a move by 1-2 weeks, so there's no huge crunch to buy immediately.

As for backtesting... In a way--I've actually be walking forward the situations where the volume is suspicious and the technicals look right to me. These setups work very well. To get even more obscure, I have stats from my program which tells me that Thursdays are the most profitable day for these sorts of signals. (Who knows why) :-)

I have not looked at these signals for stocks. I would find large single block trades interesting (someone buying 100,000 shares or similar), but whether these are people buying in, getting out of shorts, or playing them as part of a synthetic trade with options, who knows. It's a little more clear cut with options--with the added knowledge of the open interest, I have a much better sense of whether the volume is people getting in or out.

One other thought--trades may be parts of a pair or a hedge, so be careful there too. An option example from yesterday--someone bought a HUUUGE number of out of the money QQQQ calls for .05 each. I believe someone was playing MSFT earnings positively, but didn't want to buy MSFT stock or calls.

I keep editing this message. :-) One FINAL thought--very large trades will likely be hidden over the course of a day. A few months ago when someone dumped a couple million shares of XOM in one lump, it was due to a brokerage liquidation, not someone actually being bearish on the stock. There are tons of vendors out there who will slowly "leak" huge trades into the market to prevent unfavorable price movements. So, I'd be surprised if the big guys really are that visible.
Edited by FullyArticulate on Apr 28, 2006 at 03:55 PM

FullyArticulate:

What about that the price movement is less than 1%, but with huge net sell volume (65%+)? Is that meant a big buyer there?

It is great idea to look at option volumes. As for me, I dont have much experience with option.

How can I download time and sale ticks from DTNiq automatically? I am sure that your program does that. What is your suggestions for me to download data from DTNiq?

David,
Your program looks very interesting. It would be even better to add some features like those in StockWatch pro, or Ravenquote.
Edited by jangreen on Apr 28, 2006 at 04:17 PM

Small price movement with big volume is interesting, but frankly, I don't know what it means. I watched GOOG the Friday night after it was added to the S&P 500. It was unbelievable. Check out a 5 minute chart of the evening after close on 3/31. Some 6M shares traded hands and the price moved less then .5%. Why there was so perfect a balance between buyers and sellers, I really don't know.

I'm not sure what method you're using to get data out of IQfeed. I'm using a TCP/IP connection to port 9100 for history, 5009 for realtime data. From your earlier posts, it sounds like you're using COM or DDE. I've never used IQFeed in that way, so I'm afraid I can't be of much help.

The net buy/sell volumes etc will not work too well with GOOG, INTC and other most active companies, because these companies are traded by top-tier traders/firms. As small guy we may not much edge over them. I am more interested in stocks with avg volumes between 200k ~ 2m.

I have not used any method to get data out of IQfeed. I use DDE to read instant quotes. How do you use TCP/IP to get data from IQfeed? Any link? Thanks!
Edited by jangreen on Apr 28, 2006 at 05:12 PM

I'm not trying to be cagy, but I have no idea what DTN's restrictions are on their developer information. I had to sign up with their developer program to get the documentation. Some companies guard those sorts of details very carefully. I like IQFeed, so I'd rather not run afoul of their legal department. :-)

I'll leave it to DTN to answer.

There is a developer API that you can get from DTN that details the interfaces to the IQFeed - I assume Jay will give you details.

One thing is the feed can now be shared by other 3rd party programs - DTN has made its client installation much better re the installed dll's to be current. I actually put in a 'hide' function in my program so that one can be running my program and only have my TradeWindow show for example - it lets the user still have his 'favorite' program with my displays(s) on the side, and not the full program. Allows the best of both worlds. This would let you get T&S windows from other programs that work with the feed.

David

---

IQXP Software
http://www.iqxp.com

LiveWire Update Service
PO Box 1417
Fairfield, IA 52556
641-472-8393
http://www.livewire-cablesoft.com/

Those of you interested in the buy and sell volume, and breaking down the delta between the two, might want to take a look at the Investor/RT Volume Profile charts (Investor/RT runs on IQFeed). Here is a link where you can find plenty of information (videos, etc.) about our Volume Profile charts.

http://www.linnsoft.com/profiles/vp

Chad