Monday, December 07, 2009

TICK Flow: A Measure of Intraday Money Flows

Here we see the S&P 500 Index (SPY; blue), plotted against a volume-weighted version of the cumulative NYSE TICK line.

By weighting the cumulative TICK by volume, we create a surrogate measure of money flow. The indicator tells us if volume tends to be coming into the market on upticks vs downticks.

This is an experimental indicator and will go through multiple iterations before if I determine if it offers unique value. My sense is that it is not a timing indicator, but rather a broad measure of general market sentiment as the day evolves. Interestingly, it shows a more bullish sentiment than price suggests; it is also firmer than the cumulative Market Delta measure (which is specific to ES futures, not the broad list of NYSE issues).