The numbers you quote is that on S&P500 or SPY or the whole market or what?

Also, what time do you get the data?

The data IB provides is only last 15 minutes for NYSE stocks, and last hour for ETFs, which I have looked at for the last week and it seems useless.

Thanks fellas

The numbers I'm quoting are the totals of a bunch of NYSE stocks added up. For example if COP has a 300k buy imbal, PM has a 500k buy imbal and KO has a 200k sell imbal, you multiply the imbalance times the price to give you the dollar amount and subtract the sells from the buys. PM(85.54*500k = 42.7m) COP(72.80*300k=21.8m) KO(40.19*-200k=-8.0m). So total buys = 64.5m, total sells = 8.0m, so $56.5m to buy.

The data starts at like 1 or 2 eastern, but a very small % of the orders are in at that point so the data is very incomplete. It starts to firm up around 3 eastern so the strategy I've been exploring is to trade SPY in the direction of the imbalance starting at 3 if the imbalance is more the 500mill. It's a strategy I'm looking to trade more and more size in as it seems to be working. The market had some good sell offs on tuesday which was a rebalancing day as well as friday. Both of which had billion dollar sell imbalances at some point.

I do have strategies for trading NYSE stocks in the last 15 minutes but they are way more complicated. I've never had access to the arca ETF imbalances.

I also think there could be a strategy in adding up imbalances that are published in the last 15 mins and using it to trade SPY. I just haven't got around to building an app to do so.

Good day gentlemen!

I am looking to buy litecoins.

My nickname on ps is "nitram99".
I do not post on 2+2 much but i could provide references that i am serious and trustworthy.

I will agree to escrow and other security measures that will guarantee both parties satisfaction.

My payment methods: Ps,ftp,skrill,bank xfer and cash*

(provided u have spotless references and happen to be in the same part of the world as me.)*

Hit me up if this is interesting to you.

Nitram99 aka ImAviking

This is a trading LowContent thread but not a trading litecoin thread.

Another great month! Hope everyone has a good end of the year and a December to remember!

Sure it was, clearly your stock picking ability is impeccable.

You've managed to under-perform the SPY by 12% in a span of 7 months. Very impressive. Where's that 40-100% EOY return you were spamming about?

Another great month indeed! Now GTFO.

http://forumserver.twoplustwo.com/30...o-now-1320637/

Yes that thread is my entire portfolio , great job detective. It was another great month on top of a couple of great years, hoping others did well too and the market continues to do well as the economy improves.