Market Internals

NoahA · Nov 28, 2020

QTrader20 said:
There is much much much better way to figure out small, medium or big mean reversion if one knows well about market structure.

Can you elaborate on this?

Bad_Badness · Nov 28, 2020

M4-1 said:
it's all on CME website..but for those who are new to futures trading..it is the E-micro contract..not the E-mini contract !

MES is 1/10 the ES..so you have 4 ticks in each..MES tick being €1.25 and multiply by 10 for ES for €12.50..so..4 ticks one point..$5 versus $50!!!!!!

do you now see the advantage for the small little fellow with his head screwed on..and not gullible enough to get sucked into all the hype about Order Flow Analysis and charts screens that resemble a Van Geogh painting

the good bit..small money to start..lowest commissions out there..access to the most liquid market in the world..well..close enough..and..you can even use ES data to trade the MES..as it is very rarely they drift that much apart..for arb traders will quickly take advantage..as they are what i think is called fungible..10 MES contracts can be used to offset 1 ES contract.. again..all on CME.. always check the original source !!!!

Yes, I know all that. But if you look at the action in volume there is a disconnect. So the questions is something like:

2500 contacts trade on ES.
XXX contracts trade on MES

Both happen in the same direction and pullback. But when you look at the volume, they of course do not match up, proportionally. A more interesting example is you see some 250-500 contract blocks go off on ES spaced apart by some regular but slightly different intervals. Then watch the MES. Some of the times it appears it is just following. Are there arbitrage situations going on at the HFT level between the index minis and micros?

For me it is moot, since I do ES and never use MES (because I suspect there is). But the bottom line, to take a stab at answering my own question, is no (hardly any) market price moving block trades takes place on MES, simply because there notional amount is too small to bother for the volume-commissions impact AND there are some HFT shenanigans going on when there is. But too much off topic. Apologies to OP

Laissez Faire · Nov 28, 2020

NoahA said:
I'm not sure I see this. If we eliminate everything to the right of the said low in question, its really impossible to make the conclusion that that the TICK is already trending higher. Your green trend line cannot be drawn at this point.

The lines were just for illustration.

The NYSE TICK had its 'extreme' reading for the day @ -593 / 12:22.

ES printed its LOD @ 12:31 - 9 minutes later. By then - the NYSE TICK had reversed back up above the zero line and put in higher lows on each thrust down.

Do you see it now?

Laissez Faire · Nov 28, 2020

They said:
There are many existing market internals and you can create your own.
You can view tick, adv issues, up volume, etc, etc, on the NYSE or just on the Nasdaq 100 or just the S&P 500.

You can refine it even more and just follow the them on FAANGM or top 10 instruments in the S&P. You can analyze Naz 100 above VWAP vs FAANGM above VWAP and on and on and on.
There are sectors within indexes that like $BKX that can be used, it is up to one's creativity.

They are all exploitable for someone.

Yeah. I know Lawrence Chan had a custom TICK for ES which consisted of only the 500 SP stocks. As opposed to the NYSE TICK which tracks all NYSE stocks.

Are you currently implementing this kind of analysis yourself? Is it possible in Sierra?

I imagine it's not easily implemented in Ninja and I would need real-time stock data, too.

At the time being - I'm not pursuing this kind of analysis and am still in question of how valuable it is in the end, but it is for sure interesting research and analysis.

They · Nov 28, 2020

Laissez Faire said:
Yeah. I know Lawrence Chan had a custom TICK for ES which consisted of only the 500 SP stocks. As opposed to the NYSE TICK which tracks all NYSE stocks.

Are you currently implementing this kind of analysis yourself? Is it possible in Sierra?

I imagine it's not easily implemented in Ninja and I would need real-time stock data, too.

At the time being - I'm not pursuing this kind of analysis and am still in question of how valuable it is in the end, but it is for sure interesting research and analysis.

I am not trading a system currently that uses market Internals. I do have a dozen or so chartbooks built with ideas that incorporate them but for testing but my problem is always too many ideas and not enough time.

SierraCharts has most of the traditional market internals available for NYSE, S&P, Nasdaq, Russell2K & Dow https://www.sierrachart.com/index.php?page=doc/SCMarketStatistics.php

Yes, it was Lawrence Chan's work trying to better @MarkBrown 's Oddball that got me into it. Of all the market internals based ideas I have for testing I would focus on FAANGM (and TSLA) to trade the NQ. There is some Alpha there.

NoahA · Nov 28, 2020

Laissez Faire said:
The NYSE TICK had its 'extreme' reading for the day @ -593 / 12:22.

But what is an extreme reading? Looking at your very same chart, the outlined reading at 11:38 or so looks pretty extreme as well, and yet price keeps going down.

Real Money · Nov 28, 2020

I went through a bunch of this shit a while ago. There are a lot of them, so you have to be a workaholic with charts and comparing data series and shit. I do a lot of coding in thinkScript, so I have tons of studies and chart styles saved as well as many screens and lots of patience.

IMO, there is a shitload of edge in this stuff. It's a goldmine. I've got tools that work outside of RTH now (thank god), so most of these aren't useful for me unless I get up to trade the late hours of the US session.

I used all my detrending, filtering, and other scripts on them in the end. You don't always care about the absolute level of these things, just that they are turning over/fading/stalling.

The top list were the ones I ended up using since you can only have so many screens. But, since I switched over to trading the overnight session, ES and rates instead of the cash, not really using them.

------------------------------------------------------------------------------------
https://tlc.thinkorswim.com/center/release/rel-07-20-2013
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THINKORSWIM SYMBOLS

NYSE listed: listed on NYSE trades only on NYSE

$ADD NYSE Advancing Issues - Declining Issues Difference
$ADVN NYSE Advanced issues
$DECN NYSE Declined issues
$DVOL NYSE Declined volume
$TICK NYSE TICK
$TRIN NYSE TRIN
$TVOL NYSE Total volume
$UNCN NYSE Unchanged issues
$UVOL NYSE Advanced volume
$VOLD NYSE Up Volume - Down Volume Difference

NYSE listed: Listed on NYSE traded anywhere

$ADDC NYSE Composite Advancing Issues - Declining Issues Difference
$ADVNC NYSE Composite Advanced issues
$DECNC NYSE Composite Declined issues
$DVOLC NYSE Composite Declined volume
$TICKC NYSE Composite TICK
$TRINC NYSE Composite TRIN
$TVOLC NYSE Composite Total volume
$UNCNC NYSE Composite Unchanged issues
$UVOLC NYSE Composite Advanced volume
$VOLDC NYSE Composite Up Volume - Down Volume Difference

AMEX listed: Primary Markets only

$ADAD NYSE MKT (AMEX) Advancing Issues - Declining Issues Difference
$ADVA NYSE MKT (AMEX) Advanced issues
$DECA NYSE MKT (AMEX) Declined issues
$DVOA NYSE MKT (AMEX) Declined volume
$TICKA NYSE MKT (AMEX) TICK
$TRINA NYSE MKT (AMEX) TRIN
$TVOA NYSE MKT (AMEX) Total volume
$UNCA NYSE MKT (AMEX) Unchanged issues
$UVOA NYSE MKT (AMEX) Advanced volume
$VOLAD NYSE MKT (AMEX) Up Volume - Down Volume Difference

AMEX listed: All Markets

$ADADC NYSE MKT (AMEX) Composite Advancing Issues - Declining Issues Difference
$ADVAC NYSE MKT (AMEX) Composite Advanced issues
$DECAC NYSE MKT (AMEX) Composite Declined issues
$DVOAC NYSE MKT (AMEX) Composite Declined volume
$TICKAC NYSE MKT (AMEX) Composite TICK
$TRINAC NYSE MKT (AMEX) Composite TRIN
$TVOAC NYSE MKT (AMEX) Composite Total volume
$UNCAC NYSE MKT (AMEX) Composite Unchanged issues
$UVOAC NYSE MKT (AMEX) Composite Advanced volume
$VOLADC NYSE MKT (AMEX) Composite Up Volume - Down Volume Difference

NYSE ARCA listed: Primary Markets only

$ADARD NYSE ARCA Advancing Issues - Declining Issues Difference
$ADVAR NYSE ARCA Advanced issues
$DECAR NYSE ARCA Declined issues
$DVOAR NYSE ARCA Declined volume
$TICKAR NYSE ARCA TICK
$TRINAR NYSE ARCA TRIN
$TVOAR NYSE ARCA Total volume
$UNCAR NYSE ARCA Unchanged issues
$UVOAR NYSE ARCA Advanced volume
$VOLARD NYSE ARCA Up Volume - Down Volume Difference

NYSE ARCA listed: All Markets

$ADARDC NYSE ARCA Composite Advancing Issues - Declining Issues Difference
$ADVARC NYSE ARCA Composite Advanced issues
$DECARC NYSE ARCA Composite Declined issues
$DVOARC NYSE ARCA Composite Declined volume
$TICKARC NYSE ARCA Composite TICK
$TRINARC NYSE ARCA Composite TRIN
$TVOARC NYSE ARCA Composite Total volume
$UNCARC NYSE ARCA Composite Unchanged issues
$UVOARC NYSE ARCA Composite Advanced volume
$VOLARDC NYSE ARCA Composite Up Volume - Down Volume Difference

NASDAQ listed: Primary Markets only

$ADQD NASDAQ Advancing Issues - Declining Issues Difference
$ADVN/Q NASDAQ Advanced issues
$DECN/Q NASDAQ Declined issues
$DVOL/Q NASDAQ Declined volume
$TICK/Q NASDAQ TICK
$TRIN/Q NASDAQ TRIN
$TVOL/Q NASDAQ Total volume
$UNCN/Q NASDAQ Unchanged issues
$UVOL/Q NASDAQ Advanced volume
$VOLQD NASDAQ Up Volume - Down Volume Difference

NASDAQ listed: All Markets

$ADQDC NASDAQ Composite Advancing Issues - Declining Issues Difference
$ADVNC/Q NASDAQ Composite Advanced issues
$DECNC/Q NASDAQ Composite Declined issues
$DVOLC/Q NASDAQ Composite Declined volume
$TICKC/Q NASDAQ Composite TICK
$TRINC/Q NASDAQ Composite TRIN
$TVOLC/Q NASDAQ Composite Total volume
$UNCNC/Q NASDAQ Composite Unchanged issues
$UVOLC/Q NASDAQ Composite Advanced volume
$VOLQDC NASDAQ Composite Up Volume - Down Volume Difference

DJIA components: Primary Markets only

$ADID DJIA Advancing Issues - Declining Issues Difference
$ADVI DJIA Advanced issues
$DECLI DJIA Declined issues
$DVOLI DJIA Declined volume
$TIKI DJIA TICK
$TRINI DJIA TRIN
$TVOLI DJIA Total volume
$UNCHI DJIA Unchanged issues
$UVOLI DJIA Advanced volume
$VOLID DJIA Up Volume - Down Volume Difference

DJIA components: All Markets

$ADIDC DJIA Composite Advancing Issues - Declining Issues Difference
$ADVIC DJIA Composite Advanced issues
$DECLIC DJIA Composite Declined issues
$DVOLIC DJIA Composite Declined volume
$TIKIC DJIA Composite TICK
$TRINIC DJIA Composite TRIN
$TVOLIC DJIA Composite Total volume
$UNCHIC DJIA Composite Unchanged issues
$UVOLIC DJIA Composite Advanced volume
$VOLIDC DJIA Composite Up Volume - Down Volume Difference

S&P 500 components: Primary Markets only

$ADSPD SNP 500 Advancing Issues - Declining Issues Difference
$ADVSP SNP 500 Advanced issues
$DECLSP SNP 500 Declined issues
$DVOLSP SNP 500 Declined volume
$TIKSP SNP 500 TICK
$TRINSP SNP 500 TRIN
$TVOLSP SNP 500 Total volume
$UNCHSP SNP 500 Unchanged issues
$UVOLSP SNP 500 Advanced volume
$VOLSPD SNP 500 Up Volume - Down Volume Difference

S&P 500 components: All Markets

$ADSPDC SNP 500 Composite Advancing Issues - Declining Issues Difference
$ADVSPC SNP 500 Composite Advanced issues
$DECLSPC SNP 500 Composite Declined issues
$DVOLSPC SNP 500 Composite Declined volume
$TIKSPC SNP 500 Composite TICK
$TRINSPC SNP 500 Composite TRIN
$TVOLSPC SNP 500 Composite Total volume
$UNCHSPC SNP 500 Composite Unchanged issues
$UVOLSPC SNP 500 Composite Advanced volume
$VOLSPDC SNP 500 Composite Up Volume - Down Volume Difference

NASDAQ 100 components: Primary Markets only

$ADNDD NASDAQ 100 Advancing Issues - Declining Issues Difference
$ADVND NASDAQ 100 Advanced issues
$DECLND NASDAQ 100 Declined issues
$DVOLND NASDAQ 100 Declined volume
$TIKND NASDAQ 100 TICK
$TRINND NASDAQ 100 TRIN
$TVOLND NASDAQ 100 Total volume
$UNCHND NASDAQ 100 Unchanged issues
$UVOLND NASDAQ 100 Advanced volume
$VOLNDD NASDAQ 100 Up Volume - Down Volume Difference

NASDAQ 100 components: All Markets

$ADNDDC NASDAQ 100 Composite Advancing Issues - Declining Issues Difference
$ADVNDC NASDAQ 100 Composite Advanced issues
$DECLNDC NASDAQ 100 Composite Declined issues
$DVOLNDC NASDAQ 100 Composite Declined volume
$TIKNDC NASDAQ 100 Composite TICK
$TRINNDC NASDAQ 100 Composite TRIN
$TVOLNDC NASDAQ 100 Composite Total volume
$UNCHNDC NASDAQ 100 Composite Unchanged issues
$UVOLNDC NASDAQ 100 Composite Advanced volume
$VOLNDDC NASDAQ 100 Composite Up Volume - Down Volume Difference

RUSSELL 2000 components: Primary Markets only

$ADRLD RUSSELL 2000 Advancing Issues - Declining Issues Difference
$ADVRL RUSSELL 2000 Advanced issues
$DECLRL RUSSELL 2000 Declined issues
$DVOLRL RUSSELL 2000 Declined volume
$TIKRL RUSSELL 2000 TICK
$TRINRL RUSSELL 2000 TRIN
$TVOLRL RUSSELL 2000 Total volume
$UNCHRL RUSSELL 2000 Unchanged issues
$UVOLRL RUSSELL 2000 Advanced volume
$VOLRLD RUSSELL 2000 Up Volume - Down Volume Difference

RUSSELL 2000 components: All Markets

$ADRLDC RUSSELL 2000 Composite Advancing Issues - Declining Issues Difference
$ADVRLC RUSSELL 2000 Composite Advanced issues
$DECLRLC RUSSELL 2000 Composite Declined issues
$DVOLRLC RUSSELL 2000 Composite Declined volume
$TIKRLC RUSSELL 2000 Composite TICK
$TRINRLC RUSSELL 2000 Composite TRIN
$TVOLRLC RUSSELL 2000 Composite Total volume
$UNCHRLC RUSSELL 2000 Composite Unchanged issues
$UVOLRLC RUSSELL 2000 Composite Advanced volume
$VOLRLDC RUSSELL 2000 Composite Up Volume - Down Volume Difference

All USA stocks: Primary Markets only

$ADUSD AllUSA Advancing Issues - Declining Issues Difference
$ADVUS AllUSA Advanced issues
$DECLUS AllUSA Declined issues
$DVOLUS AllUSA Declined volume
$TIKUS AllUSA TICK
$TRINUS AllUSA TRIN
$TVOLUS AllUSA Total volume
$UNCHUS AllUSA Unchanged issues
$UVOLUS AllUSA Advanced volume
$VOLUSD AllUSA Up Volume - Down Volume Difference

All USA stocks: All Markets

$ADUSDC AllUSA Composite Advancing Issues - Declining Issues Difference
$ADVUSC AllUSA Composite Advanced issues
$DECLUSC AllUSA Composite Declined issues
$DVOLUSC AllUSA Composite Declined volume
$TIKUSC AllUSA Composite TICK
$TRINUSC AllUSA Composite TRIN
$TVOLUSC AllUSA Composite Total volume
$UNCHUSC AllUSA Composite Unchanged issues
$UVOLUSC AllUSA Composite Advanced volume
$VOLUSDC AllUSA Composite Up Volume - Down Volume Difference

NYSE New Highs/Lows

$NYHI1W NYSE New Highs 1W
$NYHI2W NYSE New Highs 2W
$NYHI1M NYSE New Highs 1M
$NYHI3M NYSE New Highs 3M
$NYHI6M NYSE New Highs 6M
$NYHI9M NYSE New Highs 9M
$NYHGH NYSE New Highs 1Y
$NYLO1W NYSE New Lows 1W
$NYLO2W NYSE New Lows 2W
$NYLO1M NYSE New Lows 1M
$NYLO3M NYSE New Lows 3M
$NYLO6M NYSE New Lows 6M
$NYLO9M NYSE New Lows 9M
$NYLOW NYSE New Lows 1Y

AMEX New Highs/Lows

$AMHI1W NYSE MKT (AMEX) New Highs 1W
$AMHI2W NYSE MKT (AMEX) New Highs 2W
$AMHI1M NYSE MKT (AMEX) New Highs 1M
$AMHI3M NYSE MKT (AMEX) New Highs 3M
$AMHI6M NYSE MKT (AMEX) New Highs 6M
$AMHI9M NYSE MKT (AMEX) New Highs 9M
$AMHGH NYSE MKT (AMEX) New Highs 1Y
$AMLO1W NYSE MKT (AMEX) New Lows 1W
$AMLO2W NYSE MKT (AMEX) New Lows 2W
$AMLO1M NYSE MKT (AMEX) New Lows 1M
$AMLO3M NYSE MKT (AMEX) New Lows 3M
$AMLO6M NYSE MKT (AMEX) New Lows 6M
$AMLO9M NYSE MKT (AMEX) New Lows 9M
$AMLOW NYSE MKT (AMEX) New Lows 1Y

NYSE ARCA New Highs/Lows

$ARHI1W NYSE ARCA New Highs 1W
$ARHI2W NYSE ARCA New Highs 2W
$ARHI1M NYSE ARCA New Highs 1M
$ARHI3M NYSE ARCA New Highs 3M
$ARHI6M NYSE ARCA New Highs 6M
$ARHI9M NYSE ARCA New Highs 9M
$ARHGH NYSE ARCA New Highs 1Y
$ARLO1W NYSE ARCA New Lows 1W
$ARLO2W NYSE ARCA New Lows 2W
$ARLO1M NYSE ARCA New Lows 1M
$ARLO3M NYSE ARCA New Lows 3M
$ARLO6M NYSE ARCA New Lows 6M
$ARLO9M NYSE ARCA New Lows 9M
$ARLOW NYSE ARCA New Lows 1Y

NASDAQ New Highs/Lows

$NAHI1W NASDAQ New Highs 1W
$NAHI2W NASDAQ New Highs 2W
$NAHI1M NASDAQ New Highs 1M
$NAHI3M NASDAQ New Highs 3M
$NAHI6M NASDAQ New Highs 6M
$NAHI9M NASDAQ New Highs 9M
$NAHGH NASDAQ New Highs 1Y
$NALO1W NASDAQ New Lows 1W
$NALO2W NASDAQ New Lows 2W
$NALO1M NASDAQ New Lows 1M
$NALO3M NASDAQ New Lows 3M
$NALO6M NASDAQ New Lows 6M
$NALO9M NASDAQ New Lows 9M
$NALOW NASDAQ New Lows 1Y

NYSE/ARCA/AMEX/NASDAQ ETFs New Highs/Lows

$ETFHI1W ETF New Highs 1W
$ETFHI2W ETF New Highs 2W
$ETFHI1M ETF New Highs 1M
$ETFHI3M ETF New Highs 3M
$ETFHI6M ETF New Highs 6M
$ETFHI9M ETF New Highs 9M
$ETFHGH ETF New Highs 1Y
$ETFLO1W ETF New Lows 1W
$ETFLO2W ETF New Lows 2W
$ETFLO1M ETF New Lows 1M
$ETFLO3M ETF New Lows 3M
$ETFLO6M ETF New Lows 6M
$ETFLO9M ETF New Lows 9M
$ETFLOW ETF New Lows 1Y

Definitions

Primary Markets – NYSE, ARCA, AMEX, NASDAQ
Advancing issues – Issues that have a positive net change from previous trading day’s close
Declining issues – Issues that have a negative net change from previous trading day’s close
$TICK – Number of issues that have a positive change from previous trade minus number of issues that have a negative change from previous trade
$TRIN – Volume of advancing issues divided by the volume of declining issues

Laissez Faire · Nov 28, 2020

They said:
Yes, it was Lawrence Chan's work trying to better @MarkBrown 's Oddball that got me into it. Of all the market internals based ideas I have for testing I would focus on FAANGM (and TSLA) to trade the NQ. There is some Alpha there.

Thanks.

Laissez Faire · Nov 28, 2020

NoahA said:
But what is an extreme reading? Looking at your very same chart, the outlined reading at 11:38 or so looks pretty extreme as well, and yet price keeps going down.

Extreme in this example would be a relative reading. For the example I pointed out, the 'extreme' reading was the lowest print on that day and as ES made its lowest print on the day, NYSE TICK wasn't able to match that. In other words - the broader market was ticking higher by then.

- 593 really ain't an extreme reading in absolute terms and the day was net positive even if the market went lower.

I think I have spent enough time now on an indicator/market internal I already said I'm not even certain I will continue using...

I do plot the NYSE TICK and surely it can offer some interesting signals at times, but I may decide on simply erasing it from my charts.

I won't trade this in isolation, but it's a supporting parameter which may give me some added confidence in a trade.

Laissez Faire · Nov 28, 2020

Real Money said:
I went through a bunch of this shit a while ago. There are a lot of them, so you have to be a workaholic with charts and comparing data series and shit. I do a lot of coding in thinkScript, so I have tons of studies and chart styles saved as well as many screens and lots of patience.

IMO, there is a shitload of edge in this stuff. It's a goldmine. I've got tools that work outside of RTH now (thank god), so most of these aren't useful for me unless I get up to trade the late hours of the US session.

I used all my detrending, filtering, and other scripts on them in the end. You don't always care about the absolute level of these things, just that they are turning over/fading/stalling.

The top list were the ones I ended up using since you can only have so many screens. But, since I switched over to trading the overnight session, ES and rates instead of the cash, not really using them.

Good stuff, man. Thanks for sharing.

Which session are you trading then? Asia or Europe? Is there a reason to trade ES and not an equivalent index in said time zone?

I'm curious as I may eventually want to trade the European session myself.