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Bill L.
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Methodology: setups require certain criteria to be met before trades can be executed, which include weighted statistical studies on several indicators of price, breadth, volume, and sentiment . Amount of risk taken is proportional to how many indicators are aligned. I mainly trade market... More
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  • Experimenting With Block Trading Data 1 comment
    Jul 17, 2012 1:41 PM

    Summary:

    I've been experimenting with block trading data in an effort to come up with an indicator that can help measure institutional activity. Block trades are trades of 10,000 shares or more executed at once. Because of the size of these trades we can generally assume that these are trades being executed by large institutions. Furthermore, block trades executed on upticks shows that institutions were so anxious to have the trade executed they were willing to pay up at the ask or higher (vice versa for downticks).

    By looking at the daily sum of block trades executed on upticks minus downticks, we can get a feel for whether institutions were more anxious to buy at higher prices or if they were willing to sell at lower prices. Lastly I've plotted this data with a 5 and 10 day moving average, in hopes that crossovers will give potential signals on the direction that institutions are trading in.

    As of this moment there isn't enough data to conclude how well this indicator may work, if 5 and 10 are the best moving averages, if this is a leading indicator, coincident indicator, confirming indicator, etc. I'll continue to chart this data and see how the signals pan out, and make adjustments necessary. Currently they are both negative.

    NYSE Block Trade Indicator:

    (click to enlarge)

    NASDAQ Block Trade Indicator:

    (click to enlarge)

    -Bill L.

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  • Bill L.
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    Comments (682) | Send Message
     
    Author’s reply » This data is updated late Sunday or early Monday, so a daily update won't be available. I'll update and post this chart with my Monday update.

     

    -Bill L.
    17 Jul 2012, 09:55 PM Reply Like
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