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Tracking institution moves (historically)


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Tracking institution moves (historically)

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  #1 (permalink)
PatrickBateman
Kansas City
 
Posts: 7 since Dec 2016
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Hello all,

A quick search revealed no results when trying to find a good measure to try to recognize institutional moves (historically or real-time). Are there any good resources for me to look into in order to try to recognize when an institution enters or exits the market? Currently I look at volume and velocity, with T&S also playing a role. Anything else I am forgetting?

Regards,

P.B.

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 tpredictor 
North Carolina
 
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Well, you need to define "institution". I suspect most of the volume in the markets come from one institution or another. But it's the type of institution that determines the price action behavior. Even then realistically, what we're really concerned with are not individual institutions but how complex dynamics drive markets or basically you just want to know if the market will continue or reverse.

For the S&P 500, there are various sources that publish money flow measures-- as well as a number of money flow measures. You can also use the $TICK. The $TICK is a measure of stocks hitting up or down ticks all at once. There are a number of quantitative/analytics firms that provide information to professional investors but those tools often aren't made available to retailers. Other market internals, measures computed on all stocks might be useful.

If you trade futures then tape reading & order flow enhancement software like our own AlphaReveal or other products in the same space like Jigsaw or Bookmap can make reading the tape easier. There is a lot lot of feel in reading the tape but also some quantitative observable patterns.

A pure quantitative price based measure would be a measure of range extension. A market that has extended it's range is an indication of possible institutional buying. Institutions or group dynamics of large traders will also work off large levels.

Most institutional traders are going to be working off a higher time frame and either using news, economic data, or some combination of data. You can imagine institutions in energies will tracking the reports, world events, etc, closely. Larry Williams was/is a big fan of the Commitment of Traders reports. You might also look at open interest. It has been reported that some data streams contain in the tape contain the firm executing the trade; not sure how available or valuable that would be.

More readily available, you might track a basket of investments and look at their relative performances. Intraday you could do this using a heatmap grid. You might look at trying to create custom spreads; as well as tracking important spreads.

For individual stocks, there are measures of institutional ownership available. Hedge funds must report some of their positions in filings. There are a number of software programs that tempt to piggyback on these funds by reverse engineering their trades. It has been found that most hedge funds often derive most of their outperformance out of a few momentum stocks.


WhaleWisdom tracks 13F, Schedule 13D, and 13G EDGAR filings by hedge funds


Some institutions, also, publish newsletters or financial reports or whatever that give insight into their trading methods, analysis, and position outlooks. For options data, some services track unusual volume. Certain calendar events such as report filings or roll over dates in futures might also be useful when thinking about institutional activity. I.e. funds which hold commodities must roll them over.

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 forgiven 
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besides gaps look were the very small bars became very large bars. hope it helps

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 rassi 
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PatrickBateman View Post
Hello all,



A quick search revealed no results when trying to find a good measure to try to recognize institutional moves (historically or real-time). Are there any good resources for me to look into in order to try to recognize when an institution enters or exits the market? Currently I look at volume and velocity, with T&S also playing a role. Anything else I am forgetting?



Regards,



P.B.



You could try footprint with it set above certain lot size.


Sent from my iPhone using Tapatalk

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 IcyTrade 
San Juan Puerto Rico
 
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tpredictor View Post
Well, you need to define "institution". I suspect most of the volume in the markets come from one institution or another. But it's the type of institution that determines the price action behavior. Even then realistically, what we're really concerned with are not individual institutions but how complex dynamics drive markets or basically you just want to know if the market will continue or reverse.

For the S&P 500, there are various sources that publish money flow measures-- as well as a number of money flow measures. You can also use the $TICK. The $TICK is a measure of stocks hitting up or down ticks all at once. There are a number of quantitative/analytics firms that provide information to professional investors but those tools often aren't made available to retailers. Other market internals, measures computed on all stocks might be useful.

If you trade futures then tape reading & order flow enhancement software like our own AlphaReveal or other products in the same space like Jigsaw or Bookmap can make reading the tape easier. There is a lot lot of feel in reading the tape but also some quantitative observable patterns.

A pure quantitative price based measure would be a measure of range extension. A market that has extended it's range is an indication of possible institutional buying. Institutions or group dynamics of large traders will also work off large levels.

Most institutional traders are going to be working off a higher time frame and either using news, economic data, or some combination of data. You can imagine institutions in energies will tracking the reports, world events, etc, closely. Larry Williams was/is a big fan of the Commitment of Traders reports. You might also look at open interest. It has been reported that some data streams contain in the tape contain the firm executing the trade; not sure how available or valuable that would be.

More readily available, you might track a basket of investments and look at their relative performances. Intraday you could do this using a heatmap grid. You might look at trying to create custom spreads; as well as tracking important spreads.

For individual stocks, there are measures of institutional ownership available. Hedge funds must report some of their positions in filings. There are a number of software programs that tempt to piggyback on these funds by reverse engineering their trades. It has been found that most hedge funds often derive most of their outperformance out of a few momentum stocks.


WhaleWisdom tracks 13F, Schedule 13D, and 13G EDGAR filings by hedge funds


Some institutions, also, publish newsletters or financial reports or whatever that give insight into their trading methods, analysis, and position outlooks. For options data, some services track unusual volume. Certain calendar events such as report filings or roll over dates in futures might also be useful when thinking about institutional activity. I.e. funds which hold commodities must roll them over.



Man, what a great post! Thanks a lot for that info. Even if Im just a small retail trader, that cant use much of those paid analytical services because of cost s (probably), i now know that i can have those in mind for the future.




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