research(dark-pool-flow): 2026-04-16 — signal has edge but blocked by data availability (no free real-time feed)

docs/iterations/LEARNINGS.md

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 | Short Interest Squeeze Scanner | research/2026-04-12-short-interest-squeeze.md | 2026-04-12 | High SI (>20%) + DTC >5 as squeeze-risk discovery; implemented as short_squeeze scanner |
 | 52-Week High Breakout Momentum | research/2026-04-13-52-week-high-breakout.md | 2026-04-13 | George & Hwang (2004) validated: 52w high crossing + 1.5x volume = 72% win rate, +11.4% avg over 31d; implemented as high_52w_breakout scanner |
 | PEAD Post-Earnings Drift | research/2026-04-14-pead-earnings-beat.md | 2026-04-14 | Bernard & Thomas (1989): 18% annualized PEAD; QuantPedia: 15% annualized (1987-2004); implemented as earnings_beat scanner (distinct from earnings_calendar's upcoming-only scope) |
+| Dark Pool / Block Trade Flow | research/2026-04-16-dark-pool-flow.md | 2026-04-16 | Real predictive content (Zhu 2012, Buti 2022) but blocked: no free real-time feed; FINRA ATS lags 2 weeks; revisit if Unusual Whales API access obtained |
 | reddit_dd | scanners/reddit_dd.md | — | No data yet |
 | reddit_trending | scanners/reddit_trending.md | — | No data yet |
 | semantic_news | scanners/semantic_news.md | — | No data yet |

docs/iterations/research/2026-04-16-dark-pool-flow.md

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+# Research: Dark Pool / Block Trade Flow
+
+**Date:** 2026-04-16
+**Mode:** autonomous
+
+> **Auto-implementation skipped:** Data availability ❌ — no free real-time dark pool feed exists; FINRA ATS data has 1-2 week delay, making it unusable for next-day discovery.
+
+## Summary
+
+Dark pool order flow (off-exchange block trades) does predict short-term returns in academic literature, but the signal requires real-time directional data (bid/ask side classification) that is only available via paid vendors (Unusual Whales, FlowAlgo, ~$50-200/mo). The free FINRA ATS Transparency data lags by 1-2 weeks, making it useless for a daily scanner. Without a data source, implementation is blocked regardless of signal quality.
+
+## Sources Reviewed
+
+- **Buti, Rindi & Werner (2022), Financial Management**: Dark pool retail order imbalance predicts future returns; effect is non-linear and context-dependent (regime-filtered by volatility)
+- **Zhu (2012), NY Fed**: Price discovery in dark pools impaired above a critical imbalance threshold; strong-signal traders prefer exchanges, moderate-signal traders use dark pools
+- **Unusual Whales docs**: Real-time dark pool prints classified bullish/bearish by bid/ask side; tiered by size ($5k, $15k, $30k+); subscription required
+- **OptionsTradingOrg practitioner guide**: Block filter = trades >10,000 shares or >$200K; volume surge filter = dark pool volume >2-3x 30d average; confirmation = dark pool buy + OTM call sweeps on ask side
+- **FINRA ATS Transparency**: Free, covers all ATS/dark pool volume by ticker — but data lags 1-2 weeks; not suitable for discovery
+
+## Fit Evaluation
+
+| Dimension | Score | Notes |
+|-----------|-------|-------|
+| Data availability | ❌ | No free real-time feed; FINRA ATS lags 2 weeks; paid vendors ($50-200/mo) required |
+| Complexity | moderate | Would need API client for Unusual Whales + directional classification logic |
+| Signal uniqueness | low overlap | No existing dark pool scanner; closest is `options_flow` which uses public options data |
+| Evidence quality | backtested | Zhu (2012) and Buti et al. (2022) provide academic evidence; practitioner signal logic well-documented |
+
+## Recommendation
+
+**Skip (data blocker)** — The signal has genuine predictive content backed by academic evidence, but implementation requires a paid data vendor subscription. If Unusual Whales or FlowAlgo API access becomes available, this is a high-priority scanner to build.
+
+## Signal Logic (for future reference if data becomes available)
+
+- **Entry signal**: Dark pool print volume > 2x 30-day rolling average AND classified as bullish (ask-side fill)
+- **Confirmation**: Same-day or prior-day OTM call sweep on the ask side
+- **Priority**: CRITICAL if both conditions met + repeat prints over 3+ days; HIGH if single large bullish print; MEDIUM if volume surge without directional confirmation
+- **Context format**: `"Dark pool: {volume:,} shares ({pct_of_daily:.0f}% of daily vol) | {bullish_pct:.0f}% bullish flow | {confirmation}"`
+- **Suggested thresholds**: `min_dark_pool_volume_multiple: 2.0`, `min_bullish_pct: 55`, `min_block_size: 10000`
+- **Data source needed**: Unusual Whales API (or equivalent) at `unusualwhales.com`