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Confirmation with volume and best way to see volume
I trade CL futures with NT8 and use the standard volume indicator. Many times I can see the volume spike which confirms my entry. But sometimes I don't see any spike in the volume. How does the market move without volume?
Am I using the best tool to see the volume? Will another tool like Bookmap or NT8 market depth map be able to see this 'unseen volume'?
Thanks
Can you help answer these questions from other members on NexusFi?
This is a interesting topic for sure. If you are referring to transacted volume then most likely you are capturing all of it with your current indicator. Depending on your settings (aggregate bar setting, etc.) you may be seeing this based on # of ticks, time based or based on other criteria. Even if you have this split up between the bid and ask, when you aggregate this up beyond just the raw price levels, you may see some strange things.
The other items that impact price movement beyond just transactions are the limit order book size at the best bid / best ask, and the cancels relative to adds at the best bid, best ask.
In thinner instruments such as CL, you can see a lot of price movement from cancels, and even if more of the transacted volume is hitting the bid, the bid may hold up better because there are more cancels on the ask.
Hope this helps a little.
Ian
In the analytical world there is no such thing as art, there is only the science you know and the science you don't know. Characterizing the science you don't know as "art" is a fools game.
The Volume indicator will show executed trades. In thinner markets, the bid/ask can move many ticks away from the last executed trade before a new trade is executed. A spike in volume is not a prerequisite to a move in price.
Disclosure: This communication is sent to you by NinjaTrader, LLC, a software development company which owns and supports all proprietary technology relating to and including the NinjaTrader trading platform.
That SuperDOM displays the current market depth at varying price levels in addition to the last executed trade. I can't answer if that information will provide benefit to your trading methodology.
Disclosure: This communication is sent to you by NinjaTrader, LLC, a software development company which owns and supports all proprietary technology relating to and including the NinjaTrader trading platform.
To be able to track cancelled orders you would have sync your level 1 aggregate data against your transacted volume. For every price level you would need to know:
1. Starting aggregate volume when the price level changes
2. For each Delta in aggregate volume up you would need to run a count called "added volume"
3. For each Delta in aggregate volume down you would need to run a count with a variable called "subtracted volume"
4. Then you will need to run a count of all transacted volume off of this price
5. Finally you take the delta from your subtracted volume - transacted volume. This would be what cancelled.
I have never seen a retail trading platform or indicator ever get this right.
Most of the edges that exist in this space are beyond the scope of retail traders.
Even trying to code this with something like NT would likely fail due to the lag in data and sync issues between level 1 and level 2 feeds.
But this is the approach general speaking.
Ian
In the analytical world there is no such thing as art, there is only the science you know and the science you don't know. Characterizing the science you don't know as "art" is a fools game.
