I understand now. Your basically trying to find something (market breadth or another trading instrument) to help with trading Emini ES during the early part of the european trading session because you don't have a NYSE Tick or VIX market breadth info. Yes, I strongly agree there's very good price movement in the Emini ES during the european trading session. In fact, more often than not, its related to regular schedule key market events (see a europe economic calendar) or to unschedule global events. I remember someone many years ago had a similar like question here at ET and he resolved it via getting a German data provider that had market breadth info for the DAX. Basically he had two data providers side by side on his monitors and he was using the market breath info from one data provider for the DAX german markets to help with trading the Emini ES on his other data provider. Recommend you search/contact some of the German traders here at ET that trade the DAX to find out what data providers their using and what market breadth info their using considering market breadth like the NYSE TICK or VIX is already an important tool for you in trading the Emini ES during U.S. market session. Thus, test the merits of such for a few months to see if the profits of such outweights the cost of using a German data provider with your U.S. data provider. Mark
Thanx Mark, I guess I will google german Dax market breadth indicators and try to call up some data providers such as dtn Iqfeed to see if one of their sales reps know of any such indicators. Also, Do you know if you can trade the german dax index as a futures contract just like ES? Thank you
There used to be VDAX (DAX volatility futures) which are discontinued. Now there is left only VSTOXX (Eurostoxx 50 volatility index). It has only low liquidity but you can watch the quotes anyway. All these are traded (DAX, ESTX50, VSTOXX) on Eurex. ESTX50 is based on 50 european blue chips and has much higher liquidity than DAX and less intraday change in its euro value. It runs parallel to DAX and the other indices. http://www.eurexchange.com/market/quotes/VOL/FVS_en.html (current data) http://www.eurexchange.com/download/documents/publications/Eurex_Volatility_Futures.pdf (a little old but gives quite some details) http://www.google.com/url?q=http://...zgQoAQ&usg=AFQjCNHyciLi844-xIE5aQNyvJekOme8vw (reflects recent changes) There is no market breadth info for the DAX since it is composed only of 30 german blue chips (like YM). Market breadth is generally for a whole exchange (like NYSE, Nasdaq). For the german equivalent (XETRA) there is no equivalent. Sure it is possible to compute in realtime something like Tick for the 30 DAX components or for any number of german stocks. For Eurostoxx50 components a little harder because its components are trading on several european exchanges. FDAX is a futures contract very much similar to YM. Only that its intraday variation (its euro value) is huge compared to the other indices. Better start with something easier like ESTX50. All Eurex data and trading can be done e.g. through IB.
I would do a little more research on DIFFERENT TIME HORIZONS in order to make my conclusions about FDAX - eMini S&P correlation...Some charts might be misrepresenting the "situation".
There is no market breadth info for the DAX since it is composed only of 30 german blue chips (like YM). Market breadth is generally for a whole exchange (like NYSE, Nasdaq). For the german equivalent (XETRA) there is no equivalent. Sure it is possible to compute in realtime something like Tick for the 30 DAX components or for any number of german stocks. For Eurostoxx50 components a little harder because its components are trading on several european exchanges. You say it is possible to compute in real-time something like TICK for market breadth for the 30 DAX COMPENENTS. As I Use Tick for the NYSE market breadth for trading ES during US market hours How would I begin to compute in real-time TICK FOR THE (XETRA) as a market breadth indicator during the globex non us market hours?
Depends on the platform/software you are working with. The algorithm used for Tick computation is relatively simple, therefore it can be implemented in any platform that allows the user to write programs to it. For reference on how Tick is computed e.g.: http://www.movethemarkets.com/blog/2007/01/23/better-know-the-tick-indicator/
Yeah...I know it's possible because I saw a few posts here at ET by others in the past that said they've done such. However, I don't know what software/platform they were using to do such and that's what Get In Get Out needs to do research to find out considering it seems like the TICK for the Emini ES is an important aspect of his trading. Thus, it may be well worth the additional cost of using a second platform. Mark
Wow, you can calculate the correlation of daily returns of two timeseries in your head, just by looking at a chart! You da man you da man! And to think I wasted all that time learning math...
You can do such breath-calculations for example with Neoticker. It has pretty good built-in functions for this sort of analysis. You can construct your own index out of whatever instruments you choose and output any kind of breath and tick stats in realtime (using their prop. formula language, or a 'real' programming language if you got the skills).