How we gather market breadth data
Market breadth indicators aim to reflect the health of a market (usually represented by an index, such as the Nikkei 225 or Dow Jones).
Hence it is vital for market breadth indicators to find a way if the broad market is healthy or not. The “health state” is usually determined by looking at all index components (usually the individually stocks) and their state: Is the index member trading above a specific SMA or did it advance for a particular day? Is the current day’s volume higher than yesterday? I think you get the point.
When looking at all those data for all index components as one unit, e.g. by creating a sum or a difference, some statement can be made about the health of a particular market on a particular day.
At the moment, we gather our raw data by having different data sources. For checking if index components advanced or declined, we tap publicly available sources and create our own advance vs. decline data. For checking if index members trade above their SMA50, SMA100 or SMA200, we download official and legally available data from various sources and run calculations for each individual index member. And for the index itself (the pricing, volumes etc.), we download the data from various sources aswell (depending on the index).