SqueezeMetrics Dark Pools Indicator for ThinkorSwim

[IanM]

@DeusMecanicus This is a helpful point and I tried to use addchartbubble, but I was getting a bubble on every bar, which created a bit of a mess. It was helpful in that I could see the final bar number was 1205, but then I had to delete the line of code to remove the clutter of having over one thousand bubbles. LOL Clearly, user error. LOL
Instead, I added the total number of bars as a label to the study with this code:
AddLabel(visible = Yes, text = barnumber());
or AddLabel(visible = Yes, text = "Bars = "+barnumber());
This is probably elementary to the group here, but it took me about 15 minutes of Googling to figure out and I thought I would share to save another newbie the time.

 

[barbaros]

@DeusMecanicus How would you go short with this strategy?

 

[madeinnyc]

@hectorgasm - think it only works on a daily chart as squeeze only updates it daily

Heres something similar - https://bookmap.com/

You think TOS supports an Rithmic api feed from the exchange to create a bubble volume indicator?

 

[KarlWolff]

The GEX strat I'm still playing with right now it just shorts when Gex < 0.

Would you be kind enough to post your DIX/GEX code? For some reason I can't pair the two. Thanks!

 

[DeusMecanicus]

@DeusMecanicus How would you go short with this strategy?

I did experiment with using short entries after my original post and it was even more profitable than the long only strategy. You have to realize that this is a very small sample size though. Just because dark pools aren't buying isn't a 100% guarantee that the price will go down, as is shown with the late 2017/early 2018 buying frenzy.

Just add this to the bottom of the original strategy if you want a short entry strategy.

AddOrder(OrderType.SELL_TO_OPEN, darkplot crosses below line39 , tradeSize = 100, tickcolor = GetColor(1), arrowcolor = GetColor(1), name = "SHORT");

AddOrder(OrderType.BUY_TO_CLOSE, darkplot crosses above line45, tickcolor = GetColor(2), arrowcolor = GetColor(2), name = "COVER");

This picture is from a month ago, I haven't updated it since.

 

[codydog]

I watch dix/gex, and even run a gamma spreadsheet during the day, but, it only gives a sense of direction, like a weather vane. Keep in mind it can spin around in a heartbeat.

Also, I'd caution that when institutional type indicators/strategies are pushed into the retail trader ecosystem, you need to keep in mind that at the institutional level losses that would send all of us running are normal, eg, if you run a $1 billion fund, and have a market view, adding to a position when it at first goes against you, is pretty normal. And a $10 million dollar p&l swing isnt a big deal, eg, I like it at 50, I love it at 30.

Just be cautious trying to normalize or trade from some of this stuff.

 

[joedubyk]

I have the GEX ploted, but I need someone to help me with it. I want to make it so I can put a regression channel w/ standard deviations on it. IME, figuring out if MM are LONG or SHORT gamma is very useful for intra-day. Someone get at me, I have the DIX and GEX indicator plotted and updated

 

[tabs999]

Can someone explain what value a ' long' signal and a 'cover long' signal is on dix? the picture op posted and description say two different things

 

[joedubyk]

I did experiment with using short entries after my original post and it was even more profitable than the long only strategy. You have to realize that this is a very small sample size though. Just because dark pools aren't buying isn't a 100% guarantee that the price will go down, as is shown with the late 2017/early 2018 buying frenzy.

Just add this to the bottom of the original strategy if you want a short entry strategy.

AddOrder(OrderType.SELL_TO_OPEN, darkplot crosses below line39 , tradeSize = 100, tickcolor = GetColor(1), arrowcolor = GetColor(1), name = "SHORT");

AddOrder(OrderType.BUY_TO_CLOSE, darkplot crosses above line45, tickcolor = GetColor(2), arrowcolor = GetColor(2), name = "COVER");

This picture is from a month ago, I haven't updated it since.

This is why the GEX is so important. if the GEX is high, it assumes MMs are long gamma, and dips are likely going to be bought, for awhile. i have some ideas for the GEX and how it could be useful in swing/intra-day trading

 

[barbaros]

This is why the GEX is so important. if the GEX is high, it assumes MMs are long gamma, and dips are likely going to be bought, for awhile. i have some ideas for the GEX and how it could be useful in swing/intra-day trading

Can you share how GEX can be integrated into the original post?
or how GEX can be used for intraday trading?

 

[codydog]

@barbaros -sometimes ZH, like many others is absolutely nuts, sometimes its great. This article is worth reading -

https://www.zerohedge.com/markets/a...ut-gamma-op-ex-and-option-driven-equity-flows

 

[Stockbat]

This is interesting. I have been following that site for a couple weeks now. Thank you for publishing the data and turning it into a script.

Hi BenTen,

I'm new to this forum and stumbled across this thread. Does this strategy work for any ticker symbol?

Thanks
Stock

 

[codydog]

Hi BenTen,

I'm new to this forum and stumbled across this thread. Does this strategy work for any ticker symbol?

Thanks
Stock

It seems to need a minimum of OI and volume to be worthwhile on an intraday period. But as tos throttles when I try to export too much data, its hard to give a definitive answer. I use it for spy and amzn, not so much for nflx and googl

These folks do much better work - http://stocks.tradingvolatility.net/gexDashboard

 

[martyrjohn]

How do you get the bar numbers for gex?

 

[codydog]

https://www.dropbox.com/s/x2tiprfnt8nwznp/Q&A on Gamma and Option-Driven Equity Flows.pdf?dl=0

 

[cloud9]

Tried this out for both the DIX and GEX from 6/1/2016 to 6/25/2020, and although it seems to work well for long term investing, I have more sensitive indicators that catch the dips much faster. Of these two, it seems like the GEX is much more accurate than the DIX. Always nice to have another indicator to reference in times of uncertainty, like NOW, but these DIX and GEX ones would not be on the top of my list. Thanks a lot for sharing though. I did need to get up to speed on the significance of gamma. Here is a period where the DIX just wasn't right from 11/9/17 to 2/5/18, but GEX was good.
https://tos.mx/eofPh6o

 

[cloud9]

This post deleted

 

[ProcrastinatingPerfection]

The back test result is also including the GEX strategy I have on there also.
Which captured the recent down move.

Could you possibly share this chart now?

 

[STB]

Could you possibly share this chart now?

Here you go.

 

[ProcrastinatingPerfection]

Here you go.

My...apologies for miswording the question. I meant could you share the newest code for things on the chart...perhaps using a TOS share link for the strategy and the lower indicators with the moving averages. Thank you.