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My trading is based on trading against trapped traders at market extremes using volume/cumulative delta/price action, as well as at Support and Resistance/ledges which I deem to contain large amounts of trapped traders and volume.
Current markets are the bund and dax futures.
Both great markets, partly because they follow fairly fixed times when volume/volatility comes into the market. For example, cash Dax opens 7am (UK time) and then the full market open is at 8am UK time. As such, I know that there are huge flows during this period (especially the 8am open) as the underlying share markets in Europe/London open, and that Support/Resistance levels and beaten volume are at their easiest to read/most strong when it happens from 8-9am. Or sometimes in the first 5 minutes in the Dax today (8-8.05am).
The bund is the same, great trading in the early morning period, although not quite as fixed as the 8am open as large volume can come into the market before 8am. But even bearing this in mind you still know that volume flow is heavy from 7-9am, and of course, as it's futures you have volume to give you all the info you will need.
Am looking to branch out into the GBP/USD and EUR/USD futures, and have been tracking their respective futures markets using the same methodology r.e. trapped traders etc. However these markets are not the primary movers for their respective spot forex markets where HUGE volume is transacted daily, and over a 24 hour period on top of this.
On the futures markets you can see volume pick up at 8am sometimes but it's certainly nothing like the fixed market open of the Dax futures/other index futures etc.
So my question is, does anyone have institutional experience to comment on when (in general) heavy volume flows into the GBP and EUR/USD spot forex markets? I'm aware that this is a bit of a 'how long is a piece of string' question, but all I'm after is a better understanding whether 'in general', 7-9am GMT is when heavy volume tends to hit the market and then gradually slacks off, or whether heavy volume hits at the 8am open just like the Dax. Please note that I'm talking about spot forex and not futures-I can see futures volume data but this is absolutely tiny compared top the massive amounts that enter the spot forex markets which the futures market track. Spot forex is the 'parent' market, and sadly as we all know there is no volume data for that!
Hope this ramble makes some sort of sense.
Regards,
Keab
Can you help answer these questions from other members on NexusFi?
Spot volume in the forex market tends to open a can-of-worms type discussion. There is of course volume, except, individual traders seeing anything even close to the actual dollar value that is bought and sold is completely dependent on the broker who provides you your datafeed.
Years ago, there used to be some brokers who would advertise that they obtain their transactional volume in a currency from multiple subsets of large spot transactional houses like Barclays, JPM, Citibank, UBS, HSBC, Hotspot, etc. But, for the absolute vast majority of traders, this "volume" data from these institutions would simply be portrayed on their chart within the volume bar indicator, with x-hundreds-of-millions of volume per bar of whatever time chart they were looking at. There are ways to trade from this, ie, buyer/seller exhaustion, initiative buying/selling, stopping volume, Volume Spread Analysis trading, etc.
While I have not been an active spot trader for over 5 years, the now $5+ trillion/day volume conducted per day I think has muted spot forex broker's advertising claims that their datafeed includes a large number of prominent banks, and that this somehow gives an edge to the retail trader. Many years ago, I did seek out the brokers who made these advertising claims, and compared their volume within each (say 5-min bar), and while the y-legend was different, on the whole, stopping/large volume and volume across most other bars was fairly relative, from broker to broker.
I think today's spot forex brokerage house's volume provided within their datafeeds is all over the place (with IB being among the worst, since they consolidate and average within their datafeed), but I believe one of the best feeds is the one from eSignal. They consolidate 200+ bank's/institution's transactional volume into their datafeed. I'm including the very long list below, which is taken from their website. If you care about spot volume, it only makes sense to have as much of the transactional data displayed to you, as is possible, even though it is obviously not a centralized market.
You're of course right that the CME's currency futures simply get dragged around by the very real push & pull that moves the actual currency within the spot market. But, chart support/resistance tends to be in the same places, and, if you monitor the DOM of the currency future, every so often you can see protected levels, where say the average DOM bid or offer will be ~100 lots, and then you see a larger bid or offer of say 400 or much more. Note that the currency futures tend to see their primary volume kick in during the US RTH trading period, as this is really an american based trading instrument.
I had trialed the eSignal spot forex feed for the past month, and though I think I can find value in it (I am a footprint chart, cumulative delta trader to a large extent), my jury on it will still be out until I can draw some better conclusions. While there is value in the spot forex volume, I am feeling that I am approaching analysis-paralysis mode along with taking on too much, in addition to the primary futures markets that I already trade. ie, while I could choose to also trade GBPUSD and study it's volume, I can see similar chart levels and view DOM volumes within 6B already. (my real interest is more towards spot currency pairs like GBPJPY, which of course factors in JPY/6J, which can both trend better and move more pips within a trading session)
Years ago, I understood that Frankfurt and Swiss trading desks opened ~2am EST, which started the forex trading day, then London came along with a 3am EST start; I am not sure to what extent Frankfurt and Swiss institutional traders enter the market these days - my sense is that they have been downsized significantly over the last few years, as the trading industry consolidates. Certainly, the same type of volatility is no longer in place at 2am EST, as it was years ago. It used to be that EURUSD or GBPJPY would move 50 to 80 pips at the time - how much of this was due to the european debt crisis vs. actual trader's desks opening at that time, I cannot answer.
I've included a few charts from that eSignal spot datafeed, for GBPUSD from this past week. I've purposefully left the actual "in millions of dollars" data so it is more easily read, but in reality displaying this by a diving factor of 100,000 is the way I'd normally view it. All times are in EST. For comparison, I also show 6B's chart using the same wonderful GomOrderFloPro tool, along with it's cumulative delta.
Wow Beljevina, thanks very much for the detailed reply.
Yeah it really is a can of worms isn't it! I had no idea that there was any kind of consolidated liquidity/volume feeds available to normal traders, thanks so much for your attachments which show a lot. That really is quite a list, there are some big banks in there so even if it isn't a full picture it certainly is better than nothing!
I see your point r.e. analysis paralysis and this data, especially if you're looking at similar futures charts. We actually sound as if we look at similar things (although I don't use footprint charts). I trade against trapped traders and use delta to identify extreme levels of trapped traders.
Good point r.e. trading gbjpy as there are bigger swings, that's why I trade the Dax and am also looking to possibly add the dow jones.I see you're in Canada so assume the yen has a good crossover for you with heavy liquidity times. I'm debating either the dow jones or currency futures hence my question on volume and when it tends to hit the market.
On that note can I ask one more thing. If you still have access to the charts and data, is it possible for you to look at the gbp and eurusd (maybe on a 30 min hourly chart?) to see when large volume generally tends to flow into these two pairs. Is it 7-9am, 8-9am or maybe another (unexpected time).
I'm locked into investor rt and dtn iq data for a year so can't really justify another platform/data feed!
Hey there, have been out all day on business but will try to post something for you tomorrow. From looking around in the past I don't think I use cumulative delta in the same way as most people so will do my best! In the meantime look up what it is-basically a visual way of showing who is buying and selling at market price (literally pressing the buy or sell buttons) rather than using limit orders.
Hey there, do you only trade spot fx? I trade dax and bund futures and am only looking at fx futures as I don't know if the same approach works on a futures fx market .
Here is a live 5 min chart of the bund Bund_5mins_171031084811 | ChartHub
Bear in mind it;s a German bank holiday today so am not trading it.
Look at the cumulative delta-loads of people selling at market price.
Now look at how far lower price has moved with all this selling. Those who sold at market price are offside and worried.
Here is the 2 min chart which is clearer Bund_1_min_171031085037 | ChartHub
Limit orders, in the form of icebergs or just normal large orders, are holding the price up. If it was a normal trading day, looking at the volume profile as well, I would be long at the bottom of the bell curve of the volume profile. Will be interesting to see how this turns out on a lower volume day. Price has risen massively over the last few days so it's not the strongest thing I've ever seen but that is longer term context. The basic premise is in these charts.
If you're trading spot fx then do yourself a favour and cover the delta and volume on this chart (and the volume profile too-hmmm that's quite a lot to cover!) and look at just the 'naked' chart. There's not a lot of info on there!
[UPDATE] It's tanked hahaha. Good illustration of lower volume days
Here's one from yesterday on the bund that did work out https://www.charthub.com/charts/2017/10/31/bund_5mins_171031090035
Look how many people are short on the delta. They have to puke out their positions at some point. Some of it might be selling to close, but that's only some of it. ALways best to only trade on extreme readings as you know there will be enough people included in the delta who are selling aggressively to open their position along with those who might be selling to close and who are therefore inactive in the market.
