candythief
Forumer attivo
da lettore mi associo alla tua richiesta al bravo superciuk
il DIX dark index è molto interessante da approfondire
sqzme | Dark Index
squeezemetrics.com
sqzme | Documentation
squeezemetrics.com
When DPI is higher than usual, that means there was more buying than usual in dark pools.
This is a simple concept to understand and blindly put into practice, but it is better to understand why it works this way.
The dark pool indicator (DPI) measures, out of all trades that are effected off of stock exchanges, the likelihood of a trade being a purchase or a sale. You might be thinking, "but half will be buying, half selling!"
It is important to understand that this is not true.
Most dark pool trades fill at the midpoint between the bid and the ask prices. That means that if the spread is $50.00/$50.01, dark pools trade at $50.005. So while you would never be able to buy shares of this stock for less than $50.01 on an exchange (because that's the best ask), you would be able to buy shares in a dark pool for $50.005, which is less than the best offer.
The incentive, then, is for market-makers to seek out liquidity in dark pools to improve their profits from quoting bid-ask spreads. But the effect of this activity is that (often large) trades that would have otherwise moved the price by being routed to an exchange simply fill in a dark pool and fail to affect the price. And because the dark liquidity is being absorbed by the market-maker rather than the market itself, it is theoretically possible for every dark pool trade to be a purchase or a sale.
When this happens throughout the course of a day (or over several days), sustained imbalances form. Price may rise, but dark pool traders may be net sellers. Price may fall, but dark pool traders may be net buyers.
As you can see, this scenario can create a huge information gap between dark pool traders and everyone else. In the case of many stocks, price becomes chronically disconnected from reality as a result. The tendency, however, is for price to correct as time passes and as information becomes more symmetrical.
The extent of this imbalance is what the DPI measures every day. The opportunity (or the risk), especially in cases of extreme, sustained imbalance, should be apparent.
Tranquillo non sto andando di matto...anche se ho perso il ribasso di questi giorni e ormai mi sono rassegnato a tornare davanti al monitor 24h su 24h se no non li pigli questi movimenti.
