PureTick.Com Program Trading Alerts v1.0 Indicator

This is a freebie indicator for eSignal that Cajun and myself programmed which parses the http://www.indexarb.com web page for the following S&P 500 premium levels that are likely to trigger program buying and selling (index arbitrage):


The intention is to save some manual labor gathering the numbers from the web site and keying them in to some alerts you have created each morning. The indicator will pop up an alert and play a sound for you when the thresholds are hit, in addition to drawing a green horizontal line for the program buying threshold and a red line for the program selling threshold so you can see how many times the levels have been hit throughout the trading day.


Important: Put the indicator on a 1 minute advanced bar or candle chart of the $EPREM ticker symbol, or it will not work properly.

Bonus: Customized .wav files can be placed in the c:\Program Files\eSignal\Sounds directory and configured using edit studies for the PureTick.Com Program Trading Indicator to set the buy threshold hit and sell threshold hit alert sounds. Just change the names in the edit studies screen to the .wav sound files you want to signify the buy and sell levels. The defaults are Bullet.wav for buy and Glassbrk.wav for sell. You do not need to change these if you do not want to.



Q: What is program buying and selling?
A: When the S&P 500 premium (the difference between the S&P500 futures price and the S&P500 cash (regular index) price get to certain extreme levels (as identified by the buy and sell thresholds on indexarb.com for example), a certain kind of program trading (computerized trading) will take place to take advantage of the small out-of-whack premium levels: index arbitrage.

Program Buying - When top circled premium is hit institutions buy the S&P500 stocks and short the S&P 500 futures.

Program Selling - When bottom circled premium is hit institutions will sell the S&P500 stocks and buy the S&P 500 futures.

In short program buying and selling do have an effect on the market, but it is not always clear which way the market will be influenced. If you hit the program sell threshold, the S&P500 futures (and thus the DOW) do not necessarily move up, and vice versa with the buy threshold being hit. There are entire courses and systems/services dedicated to determining which way the market will move based on program trading.

You may download the free indicator here:
http://puretick.com/files/PureTick_ProgramTrading.efs

I recorded two custom .wav files for you here to replace the default values when editing the study settings. You should place the .wav files in c:\Program Files\eSignal\Sounds with the other sound files.
Hint: Right click the below files and choose "Save Target As" to avoid playing the .wav sounds directly.
http://puretick.com/files/buybuybuy.wav
http://puretick.com/files/sellsellsell.wav

New: Instructional video now available
http://www.puretick.com/video/program_trading
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Disclaimer: We provide no technical support or guarantees on the effectiveness of the above indicators/scripts. Any trading losses or software/hardware issues incurred as a result of applying these scripts are not our responsibility. Please make use of them at your own risk.

However, if you do have questions feel free to e-mail or IM (instant message) us. Many of the scripts are used by us personally. Some scripts we programmed/modified ourselves or found freely available through the public domain. Others were donated by various contributors (including yourselves). Thank you!

Nice little efs you guys put together, It nice to see some other programers making useful tools.

Anyways I had a few helpers to make this better. Bare with me I am tired, so I may ramble a little.

The $EPREM symbol for Esignal is a lagger. (preset to change at a set interval) normally 6 seconds I think. Replace that with "EPREM A0" and it updates every tic. You may want to use a 60s chart to for that could also help in getting the alerts right on time.

You could also add an option in the edit studies option window for the YM's, NQ's and the ER's. Though I haven't found a good source for the arb on the ER's.

Since Esignal doesn't have a symbol for the cash spreads for any other than the ES, you can create them.

There are to ways:

For the Dow Mini: Enter a symbol as
YM #F - $INDU

For the Nas 100 Emini: Enter a symbol as
NQ #F - $NDX

These will have a 6 second delay though. Better than nothing right?

The second way would be to create your own symbol using the "Symbol Spread settings" on the esignal drop down "TOOL" tab.

Also noticed you have an alert window pop-up too. That can easily have an added option for users to turn on or off.



Just thought I would throw that out there. So many things in Esignal it take a long time to find all the tricks.

So, who's the one that little in Asheville? I have been down here for about 10 years and haven't met a trader yet. People ask what I do and they say "What's that". LOL

Anyways, Nice site Guys/Gals its always good to see traders helping other traders.

If you come up with any out of the ordinary ideas just let me know and maybe I can help.

Bye for now...

Nimo

P.S. if you go with the EPREM A0 you may want to add a time option or just set your time templates to Cash index hours only. that way in pre-market the alarms aren't pounding on your sleepy head.
Plus second charts like "60s" won't conform to time templates.

Can anyone clarify the difference between $EPREM and EPREM A0? Some people claim $EPREM has a six second delay but the eSignal website claims it's real time. I was comparing them both and EPREM A0 was giving a lot more signals than $EPREM. It makes $EPREM seem quite worthless if it's not even giving the right signals. Why not change the efs to EPREM A0?

I checked the eSignal website and $EPREM is updated every six seconds so it's worthless. EPREM A0 is what you need. It's available if you subscribe to CME.