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Combine ES Mini, Micro and SPY ETF data


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Combine ES Mini, Micro and SPY ETF data

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  #1 (permalink)
Leeds, UK
 
Experience: Beginner
Platform: TradingView
Trading: Emini ES, Cryto, Treasury Futures
 
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Posts: 6 since Jan 2019
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Hi all

Hope you're all healthy and staying safe.

Has anyone ever tried to align and combine multiple symbol data sources previously - I'm thinking of ES Mini and Micro with SPY ETF... some form of trade volume price alignment (even if it is a bit of fudge) and then weighting them for influence on value and influence on the market?

Not for exact volumes at each price, as I feel the data won't align enough for that of course, but to detect large orders/volume at specific times in small price ranges.

I always feel that simply looking at ES data is not really sufficient to understand the full price action considering SPY seems to lead price action more during RTH... obviously this won't take into account the 40% approx of trading SP 500 that happens in dark pools but it could be an improvement on my current understanding.

All input, helpful or just telling me it's a mad idea, would be appreciated.

Thanks

Dean

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  #2 (permalink)
Legendary Market Wizard
Somewhere, Delawhere, USA
 
Experience: Intermediate
Platform: TradeStation,Sierra Chart
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CaduceusRising View Post
Hi all

Hope you're all healthy and staying safe.

Has anyone ever tried to align and combine multiple symbol data sources previously - I'm thinking of ES Mini and Micro with SPY ETF... some form of trade volume price alignment (even if it is a bit of fudge) and then weighting them for influence on value and influence on the market?

Not for exact volumes at each price, as I feel the data won't align enough for that of course, but to detect large orders/volume at specific times in small price ranges.

I always feel that simply looking at ES data is not really sufficient to understand the full price action considering SPY seems to lead price action more during RTH... obviously this won't take into account the 40% approx of trading SP 500 that happens in dark pools but it could be an improvement on my current understanding.

All input, helpful or just telling me it's a mad idea, would be appreciated.

Thanks

Dean

I am not sure if this is helpful, but I did some analysis on ES and MES last year to determine how closely they track in price and if there were any arbitrage opportunities, and there were not (for me as a little guy, that is).

Since ES and MES are futures products, I would not expect them to track with current S&P index or the SPY ETF. They may move in the same direction, but the futures market is really trying to look into the future, where the index itself is just telling us where we are right now. They will track in the same direction, but I am not sure they are useful. That is just my experience, but others may have been able to find a useful correlation and use that in their trading.

A lot of folks look at the VIX index to help understand and trade ES and MES, since it is supposed to be a measure of volatility, by way of S&P options. Personally I have found the VIX to be very useful, and have traded VX futures for fun and profit.

~vmodus

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  #3 (permalink)
Leeds, UK
 
Experience: Beginner
Platform: TradingView
Trading: Emini ES, Cryto, Treasury Futures
 
CaduceusRising's Avatar
 
Posts: 6 since Jan 2019
Thanks: 6 given, 2 received



vmodus View Post
I am not sure if this is helpful, but I did some analysis on ES and MES last year to determine how closely they track in price and if there were any arbitrage opportunities, and there were not (for me as a little guy, that is).

Since ES and MES are futures products, I would not expect them to track with current S&P index or the SPY ETF. They may move in the same direction, but the futures market is really trying to look into the future, where the index itself is just telling us where we are right now. They will track in the same direction, but I am not sure they are useful. That is just my experience, but others may have been able to find a useful correlation and use that in their trading.

A lot of folks look at the VIX index to help understand and trade ES and MES, since it is supposed to be a measure of volatility, by way of S&P options. Personally I have found the VIX to be very useful, and have traded VX futures for fun and profit.

~vmodus

Thank you VModus, mush appreciated.

I have done some investigation and feel, as you say, it probably isn't useful... I'm still going to look at some kind of alerts on big orders on SPY and overlay that on an ES chart but we'll see if that is useful

Do you have any advice on how to interpret the VIX to help trading ES?

Thank you

Dean

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  #4 (permalink)
Legendary Market Wizard
Georgia, US
 
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vmodus View Post
the futures market is really trying to look into the future, where the index itself is just telling us where we are right now



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  #5 (permalink)
Legendary Market Wizard
Somewhere, Delawhere, USA
 
Experience: Intermediate
Platform: TradeStation,Sierra Chart
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josh View Post

Yeah, I know, my statement is self-evident, or rather it should be. A futures contract for ES expiring in September should be where I expect the market to be when I presumably take delivery. But the reality is, of course, that the ES is speculative, thus tracks closer. Now I'm just babbling here, so I'll shut up now.

~vmodus

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