Favorite Futures: Gameplay KlownbineŽ Trading of Globex
Posts: 1,276 since Jul 2009
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Note that the Better Pro Am indicator is based on average trade size. On a tick interval chart, average trade size is proportional to Volume since each bar has the same number of transactions. Which is why that indicator only works on tick based charts.
However, by using OnMarketData events and/or the GomRecorder framework, it's possible to know the exact size of every trade, get the average trade size on any type of chart, sort trades by size and buyer or seller aggressiveness, etc.
Here is a simple trade size analyzer. I haven't worked on it lately but I think it has further potential. For example, it might be useful to have a normalization option where all the values are divided by the total volume.
I thought I would post this chart of today's action so far to illustrate how volume can be used. This is one approach, and this may not play out, but it's just one idea for you to work with, or dismiss at your leisure.
So the market opened quite lower, and made a nice run up. The volume on the way up was decent, but declining. We have a huge peak at the top, and then a subsequent strong sell lower, with quite sustained volume on the move down. To me, this is bearish. The market moving lower after failing to hold above Friday's high, and the move down being on sustained higher volume, indicates strong selling pressure to me, and I will be looking to be short. I don't know what will happen, but this is an idea generated from one interpretation of what I see. If it goes up and looks strong, I will not look to short; I try to adapt to what's happening now. But this is what I see as of now. I am posting this as it's happening, and not in hindsight, because I feel very little can be gained from an opinion based on already knowing the outcome, which is tainted by hindsight bias. Let's see how the day plays out, and this theory will be proven valid, or not, depending on what happens later.
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The premise did not play out as I had expected it might; the market made a new high a few minutes ago. The real trigger for me was the sustained strong volume on the selling that occurred after the original HOD. I must admit that I was simply fooled on this one. I have been paying lots of attention to price and giving only small amounts of weight to volume, in the last several months, with good results, and this time I gave quite a bit heavier weight to what I saw in the volume, and what I interpreted was not correct. If one thing can be learned from this example, it's that volume be interpreted many different ways (for example, heavy volume on the move down after the original HOD was absorbed quite strongly, vs. a viewpoint that it indicates heavy selling pressure), so one must be prudent and consider how much volume means to you as a trader personally!
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I've recently heard and seen a lot of people talking about VBAR, or Volume Distribution Chart. VBAR is a technical tool and process of which a scale to divide volume into separate bars and then plots volume perpendicular to price. A vertical histogram of chart volume. I've been attempting to search many platforms and other resources but am having a difficult time finding any information on this study. If anyone has any good information on where to expand my knowledge on this concept I would greatly appreciate it.