Fail-Safe Or Not Fail-Safe? - January 26, 2012

[Wei]

Hi Billy,

Pascal just sent out the 20DMF rt, which shows that no buyer is buying into the bounce. But the tick data shows that the tick is keep going up while the SPY price is going down since this morning. How do you interpret the tick divergence? (20DMF is for big buyer and tick is for market maker? and they disagree at the moment?)

[Billy]

Hi Billy,

Pascal just sent out the 20DMF rt, which shows that no buyer is buying into the bounce. But the tick data shows that the tick is keep going up while the SPY price is going down since this morning. How do you interpret the tick divergence? (20DMF is for big buyer and tick is for market maker? and they disagree at the moment?)Attachment 12477

Wei,

After comparing daily Cum TICK and the RT 20 DMF for more than one month, RT 20 DMF is infinitely a better predictor of price action. Large institutional players are the true controllers of price action. Cum TICK seems more indicative of very short term “manipulative” moves by market makers HFT programs when liquidity is low like during lunch hours.
A good way to appreciate the real power of cum TICK strength is to compare it with the Up-Down Volume of the exchanges which are negative today with a weak MF. The lunchtime HFT (cum Tick) strength was sold into by large players and bodes for a weak afternoon.
Billy

[Wei]

Hi Billy,

Thank you so much for your insight. Truly appreciate it.