Dix / Dark Pool Oscillator [Nic]Dark pools are private exchanges for trading securities that are not accessible by the investing public. Dark pools were created in order to facilitate block trading by institutional investors who did not wish to impact the markets with their large orders and obtain adverse prices for their trades.
This indicator creates an easy to read oscillator so you can Identify these flows.
Darkpools
Darkpool FinderThis script is designed to located darkpool prints on SPY.
If you do not know what a darkpool is, please research into it.
Essentially, darkpools print at 8 am EST premarket almost everyday. When price hits these pockets, it is usually quite reactive to it since there are a large number of orders in that pocket.
When the script finds a darkpool print, it will plot the line until price hits the pocket, once the pocket is hit, the orders are filled entirely, hence the line will stop plotting. These pockets are only filled in the New York Cash session, if it isn't hit the day its printed, it remains open until it is filled.
For this script to work correctly, the user must have the Arca data exchange paid for since this is the only data that will show the wick prints during the premarket.
Once the correct data is enabled, use the 1-5 minute candles for the plots to render correctly, you may have to use each one for best results.
Even though this script was made for SPY, it works on any ticker because any equity ticker has darkpool prints.
So if you want to use the script on other tickers besides SPY, you must purchase the according exchange data or the script will not work!
If you are in a different time-zone other than EST, you must configure the inputs in the script to match the 8 AM EST time for the script to print properly.
Darkpools are not an end all be all play, sometimes its a coinflip, its just another tool in you toolbox to help determine your move in the market.
Selectable Ticker DIXWith this script you can select 10 tickers and see the aggregated DIX for them. I have the highest volume equity ETFs as defaults, but one could easily select FAANGM and a few other mega caps and make a FAANGM DIX index by changing the tickers in the settings. One improvement item that I have not gotten around to doing is to create a dollar weighted version of this, similar to the actual Squeezemetrics SPX DIX. This is "equal weighted" To make a dollar weighted version, multiply each by the daily closing price essentially and THEN find the average. It is possible to do I just have not taken the time to do it. It is on the list of things to do. If anyone has a solution PM me and I will add it. Thanks.
Individual Ticker DIXThis is the "DIX" for the current ticker. Includes MAs/EMAs/regression built in. One issue that I have not taken the time to figure out is that it will not update until the next day. Monday's DIX will not show on here until Tuesday for example. I am sure it is a simple solution, I just have not taken the time to figure it out. If anyone knows the solution, PM me. Thanks.
SPX DIXThis is the SPX DIX from Squeezemetrics. The code was generated with Python-Pandas. I cannot get the full DIX because I hit the variable limit and have not found a workaround. Publishing this to see if others know of a workaround.
