Here's a nice example of how the distribution of the NYSE TICK can help you identify whether buyers or sellers are dominant during the day session. The candlesticks represent five-minute TICK values through the day; the middle green line is the zero line (the point at which an equal number of stocks are trading on upticks vs. downticks); the blue line is a moving five period average of the high/low/close values for TICK.
Note that the five-minute average for TICK stays above the zero line for almost the entire trading session, indicating a skew toward buyers (stocks trading on upticks) vs. sellers.
Much of that skew, as noted in the day's Twitter comments, was due to the absence of strong selling pressure. The top green line at +800 represents roughly one standard deviation above the mean TICK value; the bottom green line at -800 represents approximately one standard deviation below the mean. Note that we had numerous positive readings above +800 (significant buying pressure), but none below -800.
Where I'm finding Twitter most helpful is as a heads up for market observations that might otherwise slip the notice of short-term traders caught up in the price action of the stocks and instruments they are trading. Knowing that institutions were not participating on the downside was useful in trading today's market, keeping traders from overstaying their welcome on the short side. (Subscription to the Twitter feed via RSS available here).
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10 comments:
Dr Brett,
I use the nyse tick alot in my trading and I found a lot of usefull information to complete my "knowledge" of the tick on your blog.
I personally find that using the pivot and S1/R1 really helps in gauging market direction. Together with basic candlestick patterns it tells a lot. Like a shooting star with its tail om R1 is a greate fade but if its a filled candle its probobly better to "go with the flow"...
I love to see posts like this. I have almost the identical eSignal chart up on my screen, only I had the thickness of my MA line set to the default, which is "thin". I note that you changed yours to be thicker.
It's always surprising how much a small change like that can change the way one sees the data. After seeing your chart, I made my MA line thicker and that really helped the "information transfer" process. Thanks!
Dr Brett,
How can I find the tick before market open(9:30)?
Dr. B,
Given that you have an abiding interest in tick data and your recent post on end of the day volitility I am hoping for some insight into investor behavior with respect to the mechanics of forcing a price up or down on the close.
As an example, what would be the most efficient way to force a stock price up a dollar during the last 30 mins. of trading? I think it would center on placing a lot of market rather than limit orders? The crux being that anytime a bid order hit then you want to place an order that hits the ask.
Better than Vegas,
d
Hi Dr. Brett,
Another great post on using tick, one question I simply must ask...in previous posts you mention that once a trend has started you use a the 1min tick chart with a 10ma and wait for a pullback in tick...do you wait for a pullback in the 10ma line to zero or is it a more subtle change? Be great if you could clarify.
Have a great weekend!
Just a clarification of my previous comment. Looking at it again I realize it may be interpretated as I use pivots on price action to gauge market direction. I meant I use them on the nyse tick. (AND on price :-))
Ex. http://screencast.com/t/9RIs3A112v
Hi Michele,
Great point; how you display information can be as crucial as what you actually display.
Brett
Hi Paulo,
There is no NYSE TICK prior to the NY open, since TICK is computed on stocks trading on upticks vs. downticks. Your best bet is to look at Market Delta (volume distribution at bid/offer) during the overnite session.
Brett
Hi Robert D.,
There are trading algorithms that move big size late in the day that can force price up or down on a very short time frame. Many of these look for shifts in the order book that they can exploit--
Brett
Hi Joslin Lolo,
If we've made what looks like a price high or low, I simply look at dips and bounces in TICK (one-minute) to gauge an entry. But that's trading a very short time frame. For longer positions, it can make sense to use something like a 10 period MA.
Brett
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