Program Trading

Discussion in 'Trading' started by savage, Aug 22, 2002.

  1. savage


    ** Today's Buy/Sell Programs

    On Wednesday August 21, 2002
    The premium execution level for program selling Wednesday was $-1.30. Sell programs at 8:40, 9:02, 9:14, 9:17, 9:28, 9:29, 9:30, 9:31, 10:04, and 10:08 CDT dropped the Dow Jones Industrial Average from 8961.11 at 8:40 down to 8799.23 at 10:09. Sell programs accounted for over 161 points of the morning sell off. Additional sell programs at 1:39, 1:47, 1:48, 1:49, 1:56, and 1:57 CDT dropped the Dow Jones Industrial Average from 8916.73 at1:39 down to 8845.29 at 1:58. Sell programs accounted for over 71 points of the mid-afternoon sell off.

    The premium execution level for program buying Wednesday was $2.02. Buy programs at 2:43, 2:46, and 2:47 pushed the Dow Jones Industrial Average from 8889.18 at 2:43 up to 8945.93 at 2:47. Buy programs accounted for over 56 points of the last hour rally. **

    Is anyone having success in figuring out real time during the trading day when these programs are in effect and how??

  2. savage


  3. I track the FV premium during the day using Tradestation platform.
    Just plot 2 graphs (spoo and SP500 spot). Then use the spread diff indicator to track the delta.

    I also insert 3 horizontal lines into the spoo chart (FV, program buy level, and program sell level). I actually hide the spot chart to save room also.

    When program buying/selling kicks in, I either buy/sell a basket of big S&P stocks or stick w/ MSFT.

    (just one of many methods).

  4. I'm not sure I understand your question because it's pretty simple to watch the $PREM and see when it reaches the levels that should trigger programs. When the programs fire, you'll see it on the TICK. A buy program will generate a big up spike in TICK and vice versa for sell programs.
  5. Aside from the common "everybody knows about them" indicators such as TICK, TIKI, an extent it comes down to seeing how the futures react in conjunction with the aforementioned indicators...If you have a TICK spike to 1000 TIKI hits 24 and PREM shoots up, then u probably have a buy program...

    Programs hit left and right all day long...Its become like the new form of the electronic herd pushing the market to extremes on the micro time frame...Even knowing its a program is not going to give u an edge, cause they can hit another and another and another...
  6. Ditch


    $PREM has barely any use, because it's not updated real-time, but only every 18/20 seconds or so. Today I was watching the time & sales, I got the impression that program buying and selling can change on a dime. Best approach I think is to be prepared for anything and have absolutely no directional bias in this market.
  7. redzuk


    This one the prem hit sell level, tick stopped falling, es held support and it signaled bullish move to come.
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  8. redzuk


    If you could figure out what i was talking about from the last chart. Later in the day. Tick gapped down, prem hit sell level and es did make a strong move down. It quickly turned around though. In real time it all happens faster than i can react, but i still watch the relationship of the three charts.
  9. savage


    Thanks for those charts. I guess since I'm primarily trading futures, it seems as if $prem is more useful to equity trading. Is there anyway to benefit when trading the eminis??

  10. cashonly

    cashonly Bright Trading, LLC

    I would think if you use the TICK to determine program trading, the information is too late. The programs already kicked in and I would think you want to get there BEFORE they kick in.
    #10     Aug 22, 2002