Alright, let's talk about volume at S/R points (chart)

Discussion in 'Technical Analysis' started by 1a2b3cppp, May 12, 2013.

  1. So people are saying that volume can lend some clues to what price is going to do next. They say you should watch the Time and Sales to see where the big orders are coming in.

    Since it's hard to post about Time and Sales in real time, and you can't really view it after the fact, I've tried to come up with a way to show big orders on a chart so we can look back and see where they came in.

    Because of the limitations both in my charting program as well as in my programming ability, the best I could come up with was to monitor bid and ask volume of a one second chart and then overlay that data on a slower chart (in this case, 5000 volume ES).

    I divided it up into 6 possibilities:

    Small light yellow dot = 300-599 contracts traded at the ask in one second
    Small dark yellow dot = 600-1199 contracts traded at the ask in one second
    Big orange dot = 1200 or more contracts traded at the ask in one second

    Small light blue dot = 300-599 contracts traded at the bid in one second
    Small blue dot = 600-1199 contracts traded at the bid in one second
    Big dark blue dot = 1200 or more contracts traded at the bid in one second

    I kind of arbitrarily picked those values.

    My goal was to see if at S/R points there were any particular volume trends, such as huge volume coming in either at the bid or ask before a reversal.

    [​IMG]

    The only thing that seems kind of significant was the large number of big trades around 13:52-13:54 as price approached the dark blue line (overnight low). Price then broke through that price and went down another 4 points.

    As you may expect, sometimes there are big orders near S/R points. Sometimes there are big orders in the middle of trends. Sometimes there are no big orders near S/R points.

    In other words, there seems to be no predictive nor confirmation value.

    If anyone would like to see the chart using different volume numbers at the bid or ask let me know and I can change them and post the new chart.

    Question: if volume is significant at certain levels, what are you looking for? Because these might as well be random dots.

    The only thing that isn't random is the number of large dots near the end of the day, but that makes sense because there's always a lot of volume then as people close out their positions.
     
  2. This is a stressful way to look at the market. A less stressful way would be to identify a few one and two bar price patterns and if market participation is increasing at the end of the pattern perhaps the next step could entering a position.
     
  3. Dig deep,dig deep!
     
  4. Why don`t you play with puppy for awhile-the higher tf - the better,and limit your trades to where there is volume and it`s more readable/?
     
  5. I've been following your price action discussions (questions or observations) from one thread to another.

    You're making this too difficult.

    You seem to have jump again into a different area of price action analysis...you can EASILY study Times & Sales "after the fact" via recording the live action. Just use Google to find any free or fee base screen recorder. Store the recordings on DVD or hard-drive if you have a very large hard-drive for such.
     
  6. dom993

    dom993

    I know I am repeating myself from another of your threads, anyway, you can't draw any conclusion, not even make hypothesis, based on a single chart. What you need to do is process many years of market data then do statistical analysis of it. You might find some patterns with better than random outcome.
     
  7. Charts trade toward size or reverse on capitulation. The trend is a series of high volume expansion bars breaking highs or lows and the second is a reversal in the form of a capitulation of volume and price.
     
  8. This code is not displaying the volume as expected. I have two 5000 volume ES charts up and they are showing the overlay at completely different positions.

    Therefore, that chart I posted in the first post might not be accurate.

    I will see if I can figure out the problem and post an update in the future.
     
  9. Lucrum

    Lucrum

    I don't see what "time" frame your original chart is, but it looks awfully short term to me. Especially for someone struggling to make sense of it all.
     
  10. As mentioned in the first post, it's a 5,000 volume ES chart.

    The volume is being pulled from a 1 second ES chart.
     
    #10     May 13, 2013