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Importance of Volume

  #20 (permalink)

Boston, MA
Posts: 165 since Dec 2014
Thanks: 60 given, 117 received

dom64 View Post
Absolutely agree with you but this was just to explain that without volumes there is no moment. This is not overly simplistic but a fact.
Huge volume can be at a price level and not move price if and only if there is absorption, which, I am assuming, if what you mean by imbalance. What moves the price is the relationship between Limit order and Market orders, which is what you see on the order book.
This is what I look at and use when I trade, this is what is being taught by Jigsaw, NOBS, etc.

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Yes but what we are seeing on the DOM are not only simply a set of standing limit orders, but also a collection of thousands of HFT algorithms placing and removing limit orders as price moves in order to exploit other algorithms. Most of these limit orders will never be filled because they will be removed quickly by the algorithms, and you probably are seeing only a small fraction of them coming on and off. Keep in mind that your DOM (and also your eyes) is not fast enough to update at the level of microseconds, so what you're seeing is really not an accurate reflection of what's going on in reality.

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