I'm a software developer so the actual task is not beyond me, I just need to know that the solution is doable and an approach.
I want to develop an "elephant tracks" detector indicator.
1) Plot price of SPX
2) subscribe to may symbol streams time and sales filtering on block or large sized trades at <= bid, >= ask.
for ES, SP, many ETFs
A few options ATM +/- a few strikes.
Display on a price chart of the ES/SPX some indication graphic when block/large trades occur and whether at or below the bid or above or at the ask, sum the $$ in the bullish/bearish trades.
The main problem I see is subscribing to all the symbol time and sales streams including options.
What problems will I have that I'm not aware of? Is there an example of something similar? Displaying icons on a chart based on some logic?
Thanks, curt
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