Signature Dark Pool Prints

Welcome to the first-ever LIVE study from our TLMoneyFlow team.

Have you ever wondered why there are so many orders on the SPY, QQQ, IWM and DIA ETFs at the same price and the same size? This blog post will explain why and whether or not an edge exists in tracking such “Levels”.

Example of SPY Signature DarkPool Prints

SPY 47 Signature Dark Pool Prints December 26, 2018

Example of QQQ Signature DarkPool Prints

SPY 47 Signature Dark Pool Prints December 26, 2018

Let’s start by explaining what these orders are. We will refer to them as “Signature Dark Pool Prints” going forward.

Signature Dark Pool prints indicate a level of significant interest from institutions. The transactions in question are reported, “late”, during the “next trading session”, for the prior session. Re-read the last few sentences again. Make sure you understand them.

In this study, we provide a historical precedent analysis of Signature Dark Pool Prints and to show whether or not an “edge” exists.

The table below summarizes the “Signature Prints” we are looking for.

Symbol Signature Sizes Example Prints
SPY 501 502 503 504 (and multiples) 504,365
QQQ 410 411 412 413 (and multiples) 413,753
IWM 251 252 (and multiples) 251,747
DIA 250 251 (and multiples) 251,444

The best way to start is by going over some examples.

Example 1: December 26, 2018

Context: SPY fell into correction mode on October 10, 2018 after trading below its 50-DMA and 65-EMA on a closing basis. During the corrective phase, Signature Dark Pool Prints counted on a day to day basis were low until December 26, 2018.

On December 26, 2018 – the SPY ETF saw 47 Signature Dark Pool Prints. The total count of 47 Signature Prints was the highest in several years per our backtests.

We can draw two conclusions after seeing the Signature Prints.

1. There was a significant amount of Institutional interest in the SPY the day prior (remember the prints are reported the next day)

2. The unusual volume and count can be a major reversal point (UP or DOWN) in the markets.

That is it. Just the two points above. We won’t attempt to label them as “BUY” and “SELL”, because it is impossible to know and very misleading. However, we can observe the action versus the significant levels and formulate an edge.

The chart below is a visual.

SPY 47 Signature Dark Pool Prints December 26, 2018

Now the visual shows that December 26, 2018 happened to be the low during the corrective phase which is misleading.

The point here isn’t to pick the bottom or the top of the SPY, QQQ, IWM, or DIA. We thought it would be best to be very clear about that. The point is to highlight the areas of high institutional interest on the 4 major ETFs, to see if they lead to large reversals in trend over time. 🙂

Example 2: September 19, 2019

Context: SPY retraces 5.6% from September 19, 2019 high but eventually rallies to new highs.

On September 19, 2019 – SPY ETF saw 44 Signature Dark Pool Prints. The total count of 44 Signature Prints was the second-highest in several years per our backtests.

We can once again draw two conclusions after seeing the Signature Prints.

1. There was a significant amount of Institutional interest in the SPY the day prior (remember the prints are reported the next day)

2. The unusual volume and count can be a major reversal point (UP or DOWN) in the markets.

The chart below is a visual.

SPY 44 Signature Dark Pool Prints September 19, 2019

Our primary focus will be to backtest the SPY ETF, since it receives the most signature prints on a daily basis. We will be doing a year over year study starting in 2019 (all years will be appended to this post) and working our way back as far as we can. The study will be available for TLMoneyFlow members.

Questions? Reach out to us on @TLMoneyFlow

Update: TLMoneyFlow team now maintains an active database and dedicated visual for Signature DarkPool Prints on 4 major ETFs. We have attached SPY visual below.

SPY 44 Signature Dark Pool Prints September 19, 2019
May 24, 2020