Market Internals Data

Posted By: TraderKevin

Market Internals Data - 07/03/20 23:21

Hello all, happy to be joining the community!

Is it possible, using Zorro, to access historical market internals data and create strategies trading in one market (/ES futures or SPY, for example) based on signals generated by the market internals (such as $TRIN, $TICK, $VOLSPD, etc.)?

I haven't been able to find any information on this. Thanks for any help you can give!
Posted By: Spirit

Re: Market Internals Data - 07/05/20 07:50

I think you can calculate TRIN from the order book data. In live trading its no problem with IB, but historical order book data is expensive.
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