Leading data for ES futures, thoughts of what might lead ES price action. Tick,, Ticki, Trin, A/D, Oddlots and more I have used them in the past. With the basket of ES changing so quickly maybe it makes sense to just make a small index of ES basket items.
There is the 'fast cash index'. The actual real time price point of an index based off real time prices of underlying stocks, not the delayed index. I calculated it once for the dow and it seemed to lead the YM, but only very briefly.