This is a very interesting site. On this site you can monitor the order flow in some markets: S&P 500; Gold and Crude Oil.
What is this?
This is the WOW index. It has been created by Carl Weiss. The Weiss Index or as he call the WoW index monitors the order flow. The algogoup is deploying a R&D program trying to understand of how changes in Order Flow affect changes in Price.
There are two signals:
1. There is a classification algorythm showing if the order flow is going up or down. Main idea, never fight the ticker.
2. The signals are coming when there is some divergence in the order flow momentum. Here I will cite Carl Weiss.
"Wo-Mo is proprietary class of algorithms developed by Algo Futures that monitor each transaction in a particular market and output streaming sets of values from which, the aggregated change in momentum of the ferocity and half-life of Buy and Sell program invocations can be inferred.
This ongoing ‘action and reaction’ activity within the automated trading environment is the major determinant of changes in Price in the short-term.
When the aggregated behavior of the automate program trading is aligned and congruent, trends are created. When the behavior is chaotic, Price is chaotic.
The WOW Indices are composed from the outputs of some of our real-time SP 500, Dow 30, STOXX 50, & Crude electronic futures order flow momentum interpretation algorithms."
I would like to thank guandi for the link. Is it interesting? Yes it is. That is why I got to bed a 2:30 in the morning last night.
You can have a plugin in your site check how it looks like at the bottom of my blog.http://algofutures.com/
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