Running Naked with Scissors. My Price Action based Trading Log

[MeiHua]

@Piptronix

I use 2 types of volume analysis in my futures trading, actual volume traded and bid/ask volume. Actual volume traded i use basic VSA/wychoff techniques and bid/ask volume i use cumulative delta and footprint studies. These are not available to the spot Forex trader. But I recall reading a study between 3 different currencies and the difference between tick volume in spot and actual volume, they were highly correlated ~.8 correlation coefficient if i recall correctly. I couldn’t find a link the study since this was years ago, but maybe a more thorough google search will yield results. I am looking at the DOM as well, how are the bids and offers at each level vs the prints. Its a poker game out there, you have to see who really wants to get in the market and who is trying to fake you out into an iceberg. So when it comes to spot you have a lot less tools. I personally think that watching price and volume is key, as well as what people are doing. This is the new pit, watching the DOM and the prints. They play the same games, but instead of shouting its flashing on my screens.

[MeiHua]

What “actual” volume was the spot tick volume compared with…?

[B]If you are looking at actual volume from futures data then that’s on a week by week basis, therefore the tick volume comparison would have to be on a weekly timeframe…[/B]

If you try using tick volume on anything less then on weekly bars you have to make an assumption that the correlation holds true on lower timeframes as well, it could be different on lower timeframes while still being correlated on higher ones…

Therefore all of the basic assumptions that VSA techniques use for stock trading may not transfer over to a market where there is no way to tell what the actual contract volume is.

That is just absolutely incorrect. Futures volume is distributed on a per tick (per trade) basis, it is pumped out by the exchange at less than <5MS and that is actually aggregated and chunked. As for the study I do not recall exactly so I wont claim to know, but i believe it was less than a weekly time frame. When i speak of actual volume its contract volume. Only futures have contract volume equities trade in shares, so that’s share traded volume vs contracts traded volume. So the vocabulary you are using is actually referring to futures contracts traded.

[MeiHua]

Here is the prints showing volume occuring within the same second. This is for the euro currency futures contract. 6EZ2

[MeiHua]

Is this from the CME?

Yes this is the actual prints from the 6EZ2 contract traded at the CME.

[piptronix]

Meihua, thanks for your time.
If something gives you an edge, that’s all that matters.
I’ll have a look into volume and see if it fits for me.

[MeiHua]

Meihua, thanks for your time.
If something gives you an edge, that’s all that matters.
I’ll have a look into volume and see if it fits for me.

Absolutely, pick tools and try them out. IF it works for you keep it, if not throw it away. Actually bringing this thread back from the dead let me see how far I have come. I appreciate that.