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»Forums Index »Product Support »POLLS & SURVEYS »Additional Market Stats/Breadth/Indicators
Author Topic: Additional Market Stats/Breadth/Indicators (11 messages, Page 1 of 1)

DTN_Jay_Froscheiser
-VP, Product Operations-
Posts: 1741
Joined: May 3, 2004

DTN IQFeed/DTN.IQ/DTN NxCore


Posted: Nov 4, 2004 01:34 PM          Msg. 1 of 11
Are there additional Market Stats, Market Breadth, Indicators, etc that you would like to see added to your DTN Satellite or Internet feed? We already have one of the most extensive lists of indicators, but I am sure there are others that people have "dreamed about" or have seen on competitive products. If you have one you would like to see added, please post the details here so we can review it for addition to our feeds. Be sure to provide as much detail about the calculation as possible.

Thanks for your feedback..

Jay Froscheiser
DTN Market Access, LLC.

jbclem
-Interested User-
Posts: 24
Joined: Feb 23, 2005


Posted: Feb 23, 2005 08:58 PM          Msg. 2 of 11
NYSE New Highs
NYSE New Lows
Nasdaq New Highs
Nasdaq New Lows

These would be invaluable (see the work of Michael Burk, well known for his MIRAT market timing tool)) and you would be ahead of the crowd in posting these statistics.

Regards,

John

DTN_Jay_Froscheiser
-VP, Product Operations-
Posts: 1741
Joined: May 3, 2004

DTN IQFeed/DTN.IQ/DTN NxCore


Posted: Feb 24, 2005 11:28 AM          Msg. 3 of 11
Can you elaborate on what you are looking for here? Are you looking for a count of the stocks for each exchange currently trading at the DAYS high or stocks trading at a 52 week high? We do have the count for 52wk highs and lows by exchange, but not current day. Are you looking for a list of symbols for these (which is more of an enhancement to scans as opposed to breadth indicators)? If you are talking about stocks hitting a high for the day, I assume (please correct me) you want the number of stocks trading AT the days high/low at the time the breadth scan is run (every 5-6 seconds currently). It couldn't really be a cumulative number throughout the day since all stocks that trade obviously have traded at the days high at some point in the day.

Your clarification will help me get this put onto a priority list to see what we can do.

Thanks for the suggestion!

Jay Froscheiser
DTN Market Access, LLC.

jbclem
-Interested User-
Posts: 24
Joined: Feb 23, 2005


Posted: Feb 24, 2005 05:37 PM          Msg. 4 of 11
My original request was for daily New Highs and daily New Lows...that's end of day, just like the daily Advances and daily Declines. I've seen the daily 52 wk highs and lows lists, they're fairly common and found on many web sites, whereas the daily New Highs and daily New Lows are not so easy to find.

One of the ways to use them is that when the market is going down you look for the daily New Lows to dry up, that's a good indication that the decline is either ending or is over. Thus, a Breadth indicator. Using New Highs and New Lows intraday as a moving breadth indicator might also be interesting, just as the intraday Advances and Declines are used.

However, since I've been using your Beta scanner and wanted to make some suggestions for it...I'll bring them up here as they are relevant to your comments:

1. scans for stocks near or breaking yesterdays Highs or yesterdays Lows
2. scans for stocks near or breaking x days (or x minutes) Highs or Lows. Ie, breaking the first hours high, breaking the first 30 minutes high, breaking the high for the past week(5 days).
3. scans for stocks making a new high or low for the day. This could result in long lists and might need to be filtered.

These breakout type scans would be invaluable for day traders and swing traders.

John

weluv
-Interested User-
Posts: 2
Joined: Mar 2, 2005


Posted: Mar 2, 2005 09:16 PM          Msg. 5 of 11
Indicators wish list:

S&P 500 Percent of Stocks above 50 day moving average,
S&P 500 Percent of Stocks above 30 day moving average,
S&P 500 Percent of Stocks above 10 day moving average,
S&P 500 Percent of Stocks above 5 day moving average.

Ted

jbclem
-Interested User-
Posts: 24
Joined: Feb 23, 2005


Posted: Mar 9, 2005 09:51 PM          Msg. 6 of 11
Hello Jay,

I replied to your questions and I'm hoping you will read this and let me know about my suggestions and replies.

Regards,

John

DTN_Jay_Froscheiser
-VP, Product Operations-
Posts: 1741
Joined: May 3, 2004

DTN IQFeed/DTN.IQ/DTN NxCore


Posted: Mar 11, 2005 08:20 AM          Msg. 7 of 11
John, I am sorry for the delays, but I have definately read your suggestions. Our Quote team has a few projects backed up right now, but we are going to be adding some more stats symbols in the near future. As for the scans, these are good to know as well. We have plans for a significant upgrade to the scans we provide. We plan to offer more than fundamental scans like we currently do, and expand it to more breakout and technical scans. We are just spec'ing that out, so your suggestions are definately welcomed!

Jay Froscheiser
DTN Market Access, LLC.

DTN_Jay_Froscheiser
-VP, Product Operations-
Posts: 1741
Joined: May 3, 2004

DTN IQFeed/DTN.IQ/DTN NxCore


Posted: Mar 11, 2005 08:38 AM          Msg. 8 of 11
John,

I need a little further clarification on your daily high/low indicators just to make sure we are on the same page.

I can see value in an intraday indicator of stocks currently trading at the days high or low. I can also, to a lesser extent, see value in an end of day number of stocks that closed at the high or low of the day.

I need to know what you define as "new" high and low. "New" within what timeframe? The 52wk new high and low scans we do are obviously based on a 52wk timeframe. It sounds like you are talking about the current day as your timeframe. In this case, there is no way to get a "New" high and low number, because every stock when it opens sets a "New" high and a "New" low. Thus, at the end of the day, every stock that traded that day would be counted.

I appreciate you clarfiying it further!

Jay Froscheiser
DTN Market Access, LLC.

David
-DTN Evangelist-
Posts: 113
Joined: May 7, 2004

I'd rather be...


Posted: Mar 11, 2005 02:38 PM          Msg. 9 of 11
Quote: 3. scans for stocks making a new high or low for the day. This could result in long lists and might need to be filtered.


FYI: I currently do something similar to this in my software. It is not a scan but an alert set up as a global real-time atHigh/atLow alert on issues that are in the local universe when they trade at today's high or low. The alert shows on an alarm ticker, makes a unique sound for trade at high or at low, and is put into an alarm log that is in view and from which you can quickly display the symbol's chart and market information. The local universe is limited by the feed restrictions. While I'd love to see something like it implemented server side, I cannot imagine doing this server side and adding the real-time results to the quote stream due to the added bandwidth. It gets quite busy even on a 500 symbol database. What I do to minimize the load and add clarity to the results is to let the user set a volume threshold so that smaller trades don't trigger the alert. My vote for additional server functionality would be for an increased data feed symbol count to 2200 or so. If you analyze the market you find that the majority of daily activity is contained in a relatively small subgroup of the market.

It is quite informative to listen to the ebb an flow of the market throughout the day with the sounds of the atHigh/atLow alert. You can literally hear the market turn before the indices show it.

Another feature that I will be adding in conjunction with the trade at high/low alert is to also show on the ticker and in the log what portfolio that symbol is in. If you make up portfolios that reflect various market sectors /sub-sectors then you get a real-time indication of activity in that group.

I will also be adding the ability to set an alert with an offset back in time (from a daily chart) to a previous high/low - this can be used as a breakout/down indicator.

David

IQXP Software
http://www.iqxp.com

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jean
-Interested User-
Posts: 29
Joined: Jul 24, 2004


Posted: Apr 9, 2005 08:25 PM          Msg. 10 of 11
Jay,
Just thought I'd add some thoughts here--hopefully you are still following this thread!

Market breath data for the SP 500 ; SP 100 (OEX) ; Russell ; and other major markets:
Net advancing/declining volume
Net advancing/declining issues
Rate of change of this and similar data


The ability to compile similar market stats on options from the exchanges and on individual contracts.


Statistics for individual futures contracts; for example:

The number of trades at the ask vs bid -- with the ability to start and stop the time period of data collection/display. This should also have the ability to filter out specific lot sizes or a defined range. Basically, a pressure guage which could be started at will at various support/resistance levels.


Statistics on the depth of market data for futures contracts--quick calculation of resting orders on each side. If possible, an analysis of comparison of how frequently this data is changing....


Compile stats on selected (intra-day) time frames over a longer period of time: e.g. Volume and range data (Average, statistical high, statistical low, etc) for a specified 30 minute period (e.g. 14:30 to 15:00) for the past 20 trading days.

Thanks,
Jean

Timbow
-Interested User-
Posts: 2
Joined: May 24, 2005


Posted: Jun 8, 2005 01:44 AM          Msg. 11 of 11
Jay,
I am beta testing the market scan(via internet) & I would like the ability to scan for stocks that GAP($) up, down & GAP% up & down in the custom scan. Also if possible have the ability to scan back at different times eg: Intervals of 1min 2min 5min 15min 1hr and so on in order to pick out those stocks that are gaining ground. Also would like to custom scan for ChgO (change open) & ChgO% (change open %)in the same manner as above. In other words, the ability to scan stocks that GAP% X% or GAP X$ or ChgO X$ or ChgO% X% in the last 1 minute, 2min and so on (X = dollar or percentage assigned) This would be great.

Thanks
Tim
 

 

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