detecting program trading?

[byteme]

Quote from jedwards:

I was just wondering if there is any algorithmic way to detect whether or not program trading has occured on a set of stocks?

If a program trade is active, are there any particular characteristic about how it trades that could be filtered or detected?

Thanks in advance

Try Googling: $TICK or $TICKI etc.

$TICK and other related indicators probably aren't exactly what you want but they could give you an idea of how to build an indicator that is more tailored to your needs.

This 6 year old thread from NeoTicker might also give you some ideas:

http://forums.neoticker.com/showthread.php?t=185

 

[daytrader117]

The question is: Would would you do if you had this information? How would you trade differently?
Just assume that virtually every stock is being manipulated through program trading, then use a robotic trader yourself as defense.

 

[T-Algo]

You can detect program trading in a easy way.
Program trade activity has implicit an increment of the trade rate.
You need to get the trade rate first. Then you need a way to see if that activity are buys or sells. You also need to know if they are acting on IMS orders, or intermaket sweeps.
To know this you also need a reliable datafeed.
$TICK and similars, don't give you program trading activity in any part of the world. And the $TICK provided by the majority of vendors isnt reliable. Why? because $tick is a measure of stocks doing upticks and downticks. for upticks the last price must increase, for downticks the lastprice must decrease. You might not know but the last price of AAPL can change more than 100 times per second. The last price of Crude Oil might change more than 300 times per second. But the broker's snapshot just show you 3 or 5 times per second.
So, you can also know where programs are entering on CL or ES or RB or EU or JY.
You need a fast datafeed and a platform to give you this information preferably on C# or C++

 

[dandxg]

Quote from T-Algo:

You can detect program trading in a easy way.
Program trade activity has implicit an increment of the trade rate.
You need to get the trade rate first. Then you need a way to see if that activity are buys or sells. You also need to know if they are acting on IMS orders, or intermaket sweeps.
To know this you also need a reliable datafeed.
$TICK and similars, don't give you program trading activity in any part of the world. And the $TICK provided by the majority of vendors isnt reliable. Why? because $tick is a measure of stocks doing upticks and downticks. for upticks the last price must increase, for downticks the lastprice must decrease. You might not know but the last price of AAPL can change more than 100 times per second. The last price of Crude Oil might change more than 300 times per second. But the broker's snapshot just show you 3 or 5 times per second.
So, you can also know where programs are entering on CL or ES or RB or EU or JY.
You need a fast datafeed and a platform to give you this information preferably on C# or C++

You can do a few other things as well. Watch the Prem, create your own custom real time tick, with Neoticker or custom programming as you suggested. A major issues with the $TICK is it's snapshot data, a delay of 3-6 seconds depending on the vendor.