Friday, June 27, 2008

Another Look at a Trend Day

My previous post took a look at the NYSE TICK during Wednesday's trend day to the downside. We saw consistent selling sentiment through the day, as the broad list of stocks traded on downticks--at their bid, rather than offer, prices.

If we take a look at the TICK measure specific to the Dow 30 Industrials ($TICKI in e-Signal), we see a similar pattern. As the day wore on, the Dow stocks increasingly traded on downticks.

Because the Dow stocks are among the most liquid blue chip stocks, they are common constituents of the baskets traded by program traders. For that reason, the Dow TICK offers a good reflection of program trading sentiment.

By integrating Market Delta (volume traded at bid vs. offer) with NYSE TICK (stocks traded at bid vs. offer) and Dow TICK (large caps traded at bid vs. offer), we obtain a multidimensional picture of sentiment minute by minute.


Dow TICK and Program Trading

Tracking the Opening Minutes