Program Trades

Discussion in 'Trading' started by steve46, Mar 24, 2004.

  1. I am trying to determine if my datafeed (Mytrack) is accurate. I think I observed a program buy at 7:20 PST. If anyone out there was using a datafeed other than Mytrack and saw the same, please let me know. BTW I am using Sierracharts and looking at 15 min bars. Fourth bar displayed that activity spike. Thanks. Steve46
  2. Sell program at 7:42PST
  3. Sell program at 8:08 PST
  4. Todays NYSE volume is low, and program trading is running at approx 44% of volume. For that reason, I am using Tiki (Dow30) as an indicator of program trades. (Readings of -/+24-26 show programs comming in). According to H.L Camp, fair value was 1.53 with buy programs at .28 and sells at 2.70. I add my own calc for cost of funds and adjust both figures to .32 for buy programs and 2.45 for sells. Because I am not seeing programs kick in near these numbers, I believe something is wrong either with the feed or with my assumptions. I look forward to any comments from knowledgeable traders. Best Regards, Steve46
  5. To all Posters:
    Could be that problems with MyTrack data feed are the reason I could not find evidence of program trading. Currently I am using Tiki (Dow30 tick) to supply evidence of program trades hitting the Dow. As I mentioned in a previous post, I am using the H.L. Camp numbers to serve as a base. Today for some reason, I did not see programs hit, and thought I might be incorrect in how I adjust the figures for cost of funds.
  6. nitro


    In my experience, this is too simplistic. Dow +24-26 is not necessarily a buy program, but a buy program can hit the sp500, or the Nasdaw 100, or the DOW. The stocks that it hits are proprietary to the particular program, and may or may not include many of the DOW components. Don't forget that the NDX also has fair value for it too, which btw, was approx +3.00 today.

    Do you mean -1.53? Fair value with interest rates this low is a negative number on the spoos.

    There are mild programs and active programs. Few can discern the mild ones. Again, I am not sure what you mean, but the sign should be negative on the sell at -2.70 (you are spot on for the buy though at +.32.) In addition the threshold is probably closer to -2.50 for the mild and -3.10 for the active sell. But you are in between those two (assuming you have the sign wrong) so it is not a bad comprimise, but you will overstate how many sell programs "should have" occured.

    I am not sure how you are measuring a program. The standard way of using TIKI and TICK are very unreliable. As I mentioned above, a program can hit either the sp500 or the naz100, and it can hit any subset of stocks in the index. Which are being hit are proprietary to the index arbitrage firm. Theoretically, a program can hit any index that has a future and a "fair value" calculation.

    I am pretty accurate on discerning when a program hits. I am sorry, but I cannot go into it much.

  7. thats ok, you can PM me about it :D :D
  8. nitro


    :D :D nitro :D :D
  9. Thanks everyone (you too Nitro), I appreciate the input. I was in a hurry and didn't use the proper notation. I am guessing that most folks got the gist of the post. Best Regards, Steve46
  10. #10     Mar 24, 2004