Lesson of the Day:  Listen to your ideas, record them, review them.

 

I've been watching the price action through the tape using ToS.  The reason I'm looking at the tape instead of the L2 is because there is a 20 min delay on the L2 for paper trades.  I was thinking about that this morning and I had a sudden realization the true state of the market comes from the tape.  The problem is that the order can fly by, especially if millions of shares are selling.  However, with a computer you can calculate a lot by just that tape stream.   This is where things become tricky.  There are two volumes here, volume (quantity) of buys/sells, and the volume bought/sold.  The third piece of data is, of course, price.  My suspicion is there is a way to weight these two volumes relative to price and programmatically determine if the market turns sideways, if buyers are stepping up to the plate, or if sellers are about to grab control.  This is sort of like a VWAP on a very short time interval.  This is a really interesting thought to me and I want to test it out.  I'm going to have to put some thought into how to determine the truth value of this thought.

 

I hope you all have a great day tomorrow!  Good luck!