Bid Ask Volume Analysis

Discussion in 'Strategy Building' started by goshort, Jun 16, 2005.

  1. goshort



    I have recently been looking at Bid Ask volume analysis , relating particularly to the ES and YM contracts.

    I am interested in finding out more about Inside Volume -

    - Under what conditions does and can Inside Volume occur ?
    - What is it that makes Inside Volume occur ?
    - How could I enter an order into the market to ensure my trade was executed at an inside price ?
    - Any ideas of how to take advantage of the egde which inside volumes gives ?
    - Does Inside vol occur at market turning points for example ?

    If anyone has knowledge of Bid/Ask volume analysis and its use in general perhaps they would be kind enough to post with their thoughts on this subject.


  2. Not sure what you mean by "inside". Virtually every trade in both contracts occurrs with only a tick between bid and ask. That's as inside as you can get.
  3. ES and YM are not stocks and they are electronically traded in a single exchange system, so they do not have such a thing as "inside" volume at all unless they get very very "thin" from time to time, e.g. the hour right before Fed meeting announcement.

    The best bid and ask are almost always within 1 tick.
  4. The inside market is totally unreliable because of hidden size. Besides, as most girls know, size isn't everything. It's all about how the size is used. Floor rotation is the perfect example. Unnnnnh!
  5. goshort



    Thanks for the replies.

    Attached is a 300 tick chart of the ES, the white is the inside volume.

    I didn't notice any detectable difference in the spread whilst this inside volume was being formed and I am still wondering if anyone knows under what market conditions and circumstances it will be created.

    Take a look at the chart and you will see the inside volume quite clearly.