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Volume Watch Indicators
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Created: by RJay Attachments:11

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Volume Watch Indicators

  #1 (permalink)
 Vendor: www.innovative-trading-solutions-online.com 
Hartford, CT. USA
 
Futures Experience: Intermediate
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Volume Watch Indicators

Volume, some web sites swear by it. I haven't got a handle on it yet.

There are more complex indicators available on NT than these.

I am just having a problem reading them. I like simple.

I have modified one indicator from the NT forum that I found interesting.

There are six indicators here. two groups of 3 each.

The "total volume group" and the "delta volume group".

Indicators are separated in each group by trade size ranges.

Greater than, between, and less than.

You can clearly see each group trading.

But it is not clear to me if they are going long or short.

I do not see any consistant pattern.

Only when they are choosing to enter or exit the market.

I have been watching them on the one second chart.

What do you think?? Any recommendations or thoughts.

RJay

Attached Thumbnails
Volume Watch Indicators-total.jpg   Volume Watch Indicators-deltavolume.jpg  

Last edited by RJay; July 9th, 2009 at 01:28 PM.
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  #2 (permalink)
 Vendor: www.innovative-trading-solutions-online.com 
Hartford, CT. USA
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: AMP/CQG, Kinetick
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Hi All,

The Volume Watch Indicator Suites Project is completed.

Check out the attached images.

Downloads are avaliable in the Elite Circle Forum on this web site.

RJay

Attached Thumbnails
Volume Watch Indicators-rjaystotalvolumesplittersuite.jpg   Volume Watch Indicators-rjaysdeltavolumesplittersuite.jpg  
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  #3 (permalink)
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RJay,

What are your thoughts on the VolumeDirBins indicator that someone posted on this forum?

Mahlon

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  #4 (permalink)
 Vendor: www.innovative-trading-solutions-online.com 
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mahlonhersh View Post
RJay,

What are your thoughts on the VolumeDirBins indicator that someone posted on this forum?

Mahlon

Mahlon,

There is probably merit to volume moving averages.

I personally as of now would only use volume to determine entry and exit points and only after confirmation by price indicators.

Ask the guy who posted it for more info. I would also be interested.

RJay

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  #5 (permalink)
 Vendor: www.innovative-trading-solutions-online.com 
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Hi All,

Phase 2 of my Volume Watch Project is complete.

New, to me at least, introducing VolumeBidAskChurn and TickBidAskChurn indicators.

These churn indicators measure the opposing sides in the market that tend to cancel each other out.



One suite contains trader Total, Delta and Churn Volume indicators.

The other suite contains trader Total, Delta and Churn Tick indicators.


The tick indicators measure the number of transactions at ask or bid for the current bar.

The volume indicators measure the number of contracts traded at ask or bid for the current bar.


These are data collections indicators.

They are not configured to display any specific circumstances in the markets.

There are three screen captures of each of the volume and tick suites.

These indicators are available for download in the VIP area.

RJay

Attached Thumbnails
Volume Watch Indicators-5tickb.jpg   Volume Watch Indicators-5ticka.jpg   Volume Watch Indicators-5tick.jpg   Volume Watch Indicators-5volumeb.jpg   Volume Watch Indicators-5volumea.jpg   Volume Watch Indicators-5volume.jpg  
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  #6 (permalink)
Market Wizard
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RJay View Post
Hi All,

Phase 2 of my Volume Watch Project is complete.

New, to me at least, introducing VolumeBidAskChurn and TickBidAskChurn indicators.

These churn indicators measure the opposing sides in the market that tend to cancel each other out.



One suite contains trader Total, Delta and Churn Volume indicators.

The other suite contains trader Total, Delta and Churn Tick indicators.


The tick indicators measure the number of transactions at ask or bid for the current bar.

The volume indicators measure the number of contracts traded at ask or bid for the current bar.


These are data collections indicators.

They are not configured to display any specific circumstances in the markets.

There are three screen captures of each of the volume and tick suites.

These indicators are available for download in the VIP area.

RJay

Nice work RJay,

I just would like to show you some problems with volume indicators that show "who is control". Lets say you have 10 sellers, each one selling 100 contracts at the bid. Now those indicators show heavy selling. But there's is a buyer of 2000 contracts just sitting on the bid to get hit. So the buyer is actually bigger than the seller, but it will not show up in any of those volume indicators, because he is not buying at the offered price. That's why it's difficult to see if big players are going long or short. Another problem is if a big position gets rolled over in another contract. (like sell Sept and buy Dec). Big volume, but no impact on price. And another problem is the "program buying and selling". (Buy / sell cash and sell / buy index). No big impact on price either, just arbitrage.

But anyway great work you did.

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  #7 (permalink)
Market Wizard
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Silvester17,

Is there a way to see this?
Or is it unimportant?

What should I be watching?

Thanks,


Silvester17 View Post
Nice work RJay,

I just would like to show you some problems with volume indicators that show "who is control". Lets say you have 10 sellers, each one selling 100 contracts at the bid. Now those indicators show heavy selling. But there's is a buyer of 2000 contracts just sitting on the bid to get hit. So the buyer is actually bigger than the seller, but it will not show up in any of those volume indicators, because he is not buying at the offered price. That's why it's difficult to see if big players are going long or short. Another problem is if a big position gets rolled over in another contract. (like sell Sept and buy Dec). Big volume, but no impact on price. And another problem is the "program buying and selling". (Buy / sell cash and sell / buy index). No big impact on price either, just arbitrage.

But anyway great work you did.


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  #8 (permalink)
 Vendor: www.innovative-trading-solutions-online.com 
Hartford, CT. USA
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: AMP/CQG, Kinetick
Favorite Futures: TF
 
RJay's Avatar
 
Posts: 677 since Jun 2009
Thanks: 726 given, 740 received


Silvester17 View Post
Nice work RJay,

I just would like to show you some problems with volume indicators that show "who is control". Lets say you have 10 sellers, each one selling 100 contracts at the bid. Now those indicators show heavy selling. But there's is a buyer of 2000 contracts just sitting on the bid to get hit. So the buyer is actually bigger than the seller, but it will not show up in any of those volume indicators, because he is not buying at the offered price. That's why it's difficult to see if big players are going long or short. Another problem is if a big position gets rolled over in another contract. (like sell Sept and buy Dec). Big volume, but no impact on price. And another problem is the "program buying and selling". (Buy / sell cash and sell / buy index). No big impact on price either, just arbitrage.

But anyway great work you did.

Silvester17,

Welcome to Volume Watch - Phase 3 ( Supply !!! )

I also believe the really big market movers are entering above and below the market price.

they can afford to enter the market with price spreads to reduce their visibility.

The attached chart appears to confirm this. What do you think????

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


RJay

P.S. Pay no attention to the numerical values for each level2 indicator. they do not represent trades or contracts.


Last edited by RJay; October 17th, 2009 at 05:35 PM.
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  #9 (permalink)
Market Wizard
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DavidHP View Post
Silvester17,

Is there a way to see this?
Or is it unimportant?

What should I be watching?

Thanks,

David,

I think volume is very important. On my price action chart I use a simple volume indicator. Lets say in a down move you see a big increase in volume. That is a first indication there might be a reversal. Together with some price patterns you can get pretty good high probability trade set ups. I also like vol indicators like effective vol or buy and sell strength. But I would not take a trade based on those two.

Good luck

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  #10 (permalink)
Market Wizard
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Futures Experience: None
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Silvester17's Avatar
 
Posts: 3,332 since Aug 2009
Thanks: 4,579 given, 10,313 received


RJay,

I think you're right. There're a few things we don't get to see. The one thing I know is, whatever they do it must be reported.

Interesting indicators again. And as always nicely done. Great job.

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