jangreen has contributed to 10 posts out of 21199 total posts
(0.05%) in 6,587 days (0.00 posts per day).
20 Most recent posts:
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
Quote: 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 --- Original message by FullyArticulate on Apr 28, 2006 03:45 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
Quote: 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 --- Original message by FullyArticulate on Apr 28, 2006 03:05 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.
Quote: 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 --- Original message by FullyArticulate on Apr 27, 2006 08:00 PM "my program", is it your own program or DTNiq? Have you found the net buy volume useful?
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
How/where can I get the net buy volume, or buy% like data?
Thanks, jg
Thanks! It is very helpful.
Quote: There are several macro utilities available via the internet if you do a search, many have free demos for you to try them out and see if they meet your needs. --- Original message by DTN_Tim Walter on Apr 25, 2006 12:42 PM Can you give me a link? Is it based on DDE spreadsheet ? How can I get my spreadsheet to list 1300 symbols? Now I can only list 500 symbols...thanks!
How to get a windows macro utility ?
How can I use command lines to do the following?
1. Open a watchlist 2. Export the wathlist data into csv file 3. Close the watch list.
I can use "WatchList.exe test.wat" to open a watchlist of "test", but that is all I can do so far. How to export the data and close the watchlist?
Thanks,
|