Hi everybody! I decided to release this script to help traders keeping track of market gaps on the CME. The script works in general for any market and at any timeframe. The script allows the user to: - Identify price gaps of a customized amplitude (Gap Width) - Compute the probabilities of filling them (specific for bullish and bearish gaps or cumulative) -...
CME Bitcoin Quarterly Contract Futures Price with 3 different display modes: (Percentage, Delta, Absolute). This information can be used to understand when futures are trading at relative strong/weak premium or discount against each other. This information can either be used for cash-n-carry arbitrage, inter-exchange arbitrage, hedging or directional price speculation.
Displays information about Bitcoin CME Futures Gaps over BTCUSD (or XBTUSD) charts. You can configure a threshold percentage to only display gaps whose size is greater than that percentage. The gap precentage is calculated based on the current close price. Gaps up are displayed in Orange, gaps down in Green
This is an interesting study using the data provided by the Bitcoin CME Commitment of Traders report. The MACD plot the difference between the Retail Traders positions and the Professional Traders positions. The general idea is that Professional Traders have a better read on the market than Retail Traders. The signal line helps to identify the trend that it...
I created a strategy which finds gaps on CME Futures market for Bitcoin, BTC1! and opens a long or short position on the crypto exchange depending on what kind of gap was found (up or down) on CME. Up gap: today open price > previous day high price Down gap: today open price < previous day low price Two lines below the main chart show when gaps appear. The...
Futures basis % for any ticker. Requires: an index to compare against, the futures ticker, and the expiration year/month/day/hour. Optional second ticker to compare with. Example explanation using bitcoin futures: For Deribit, their futures expire at 0800UTC and the ticker will show the date of expiration. For example, BTC27H20's expiration is the 27th of...
Breakers for CME's futures contracts. Should work on CST/EST/UTC charts. CME says it uses the last 30 seconds of the session to grab a reference price, so I took the open of the last session's candle because it's easier. Out of session breakers: +/-5% Limit downs: -7%/-13%/-20% There are some minor nuances for the later part of the NY session but I don't...
> Find window in CME Exchange > Yellow Dot = Rising Window > Yellow Dot = Falling Window
Only for Bitcoin! This indicator locates weekly gaps created by the CME Futures market for Bitcoin. As you can see, Bitcoin tends to close the weekly gaps created in the futures market so I thought this could be a very useful tool. Instead of having to look between multiple charts, this simply overlays the past weeks open and close should a gap appear. I...