Title: Analysis of minute bar trading volumes of the ETFs SPY & SH
Author: Grant Kiehne
SPY is an S&P 500 ETF, and SH is a -1X (inverse) S&P 500 ETF, thus both ETFs track a common index. Their relative trading volumes may have a relationship that could be exploited in a trading algorithm. The analysis is presented as a heatmap of the difference in the z-score normalized trading volumes over a rolling 390 minute trailing window. The horizontal and vertical axes are daily trading minute and trading day, respectively; each row represents a trading day and each column a trading minute. Visualization of the heatmap provides a means to discern patterns and anomalies of potential utility in developing a trading algorithm.
Quantopian username: Grant Kiehne
Filename: heatmap example v01