I wanted to put forth the opinion that futures volume at price is wildly over-rated as a technical indicator. There are two reasons for my thesis: 1. Somebody took the other side of the trade, and most importantly 2. regulated futures exchange volume at price is usually a very incomplete picture because simultaneously you have analog OTC cash and derivatives markets trading turnover that you have no clue about. As a side pocket note, before I proceed further yes I have used the Market Delta Volume plug-in study for TT X-Trader in the past and yes I have in the past made extensive use of the Bloomberg terminal volume studies of which there are many. Let me expand on #2 above. How many CL scalpers would shit their pants if they had a WebICE Swaps feed and could see the 2K, even 5K blocks that get traded within a cent or two of the last futures price print? During US trading hours, especially in the morning it is a common occurrence. There are also plenty of bilateral physical crude oil swaps being traded that don't financially clear LCH or CME. Let's say you're scalping ZN. The last price print in the futures is 119-12.5. Again during US trading hours, especially in the morning there could be literally hundreds of millions of dollars of swaps in addition to the on-the-run and off-the-run cash Treasury markets trading concurrently with the futures. And I think that similar things could be said for ES and dark pools or 6E and the cash markets - maybe to a lesser extent for the dark pools but it's still a factor. To look at regulated futures exchange volume at price is in my opinion at least a limited view into what is being turned over at that valuation. The only real use I have for regulated futures volume is to determine if a specific contract expiry is liquid enough to model and trade - and for this purpose all I require are the daily settlement sheets. Having said all that, if you've been making money hand over fist for the past ten years using a volume study please keep right on doing what you're doing.
I don’t agree. I’ve said it before, but it’s not a difficult game. People just have no patience is all. The only edge you really need is discipline. As for the above on volume, I can’t comment as it pertains to scalping, but volume at price is extremely helpful for s/r
and what you do not have, somebody else will take full advantage of. but they do not have patience because they do not know what the market is doing:if i tell you wait for ten years and i will give you million usd,backed fully by bank guarantee,why will you not have patience? markets are moved, they do not move at random. The public is taught that markets are random, that you need risk management to survive:does Goldman Sachs operate with stops? they want you to put stops so that they can trigger the stop number times in a row,and then you will be depressed and then move the market. "The market is not there for your benefit"- Tom Williams
I would like to comment that I have purchased all of John Grady's NoBS Day Trading stuff and religiously went through his videos. This was a few years back, I was able to sit there and trade Treasuries. You can make money using Volume @ Price. It doesn't matter about the OTC market or cash market or any other world market. If you sit there, watching every minute, and record/label/filter your trades, you WILL eventually get it. You cannot be "auto-piloting". You MUST actively review every single day, and stick with the filter trades that are Profitable, and avoid the ones that are Losses. If you are trading the Bund, I would also recommend using Market Profile (look up Axia Futures videos on the internet) If you are trading Outright (anything), it's quite a different game than Spreading. Outright game...and using the Volume Footprint, is all about "leaning" on an area, a big guy, a price region, or a specific price. In the Treasuries, because the prices are so thick, you can literally lean a price 1-2 ticks away. If it holds up, you profit. If it doesn't, you hit out. In the Bund, you can't really lean on one price (because it's so thin) so you have to lean on an "area" of the profile. Once again I strongly recommend watching the video of the guy pulling $60,000 up-day in the Bund on Youtube: If you scroll half way through the video you can see this guys PNL is up to $50,000 pounds already on this day. They rely on watching Price-Action (volume accumulation), Market + Volume Profile... These guys are experts (5yrs + experience) but it can be done. A lot of ideas being thrown here but the simple point is this: Spreaders: You have a higher win-rate, you trade off a "Bankroll", you hope things don't blow up in your face, but you pay the price by taking on a lower "Reward to Risk" ratio. You might be risking 10 to make a unit of 1-5. Your edge is researching what else is "blowing" or "not blowing", what are the other markets doing... is it safe to be in this spread? Outright (Volume Profile, Market Profile, Footprints etc.) in efficient markets: The win rates would be between 40-65%, you trade off an "idea" or "region". You are always leaning on the region. If your exit region is too far away, you're in a bad trade. Now the distinction to make is this, just because you think the market is going up and you're outright, doesn't mean you just get long. What you are supposed to do is exercise some patience and wait for a setup which tilts the probability of reward/risk in your favour. This is why it takes people 6-12 months just to "get it" (if they ever do). The whole game of patience, discipline.... is learning the difference between "I got long because I think it's going up" and... "I got long because I know I can exit 2 ticks away, but if I'm right it'll give me 3 to 7". Just because the market is going up, doesn't mean it's a good Long. But if you can get your Long near a region, area, block, iceberg... that tells you, you're Wrong if it breaks against you and holds, and you're Right if it pops away... then you will see a rising Equity curve in your account over time. These are the basic principals of trading Price action, Volume Profile.. Market Profile... it works. I know it works because I've done it and I learned the skillset. I will say this... if you try to disperse your attention to multiple trading methods at once, you will suck at all of them. Sit there, watch it every day, focus, record your trades, you will make solid gains every week until you hit profitability. Finally for Bone.. trust me.. I was in your boat. I thought the exact same thing.. I was skeptical... until I just closed off all distractions, sat there, watched it day-in and day-out, recorded my trades and saw the growth in the art form process.
it actually took me a long time to actually understand this volume. but after a little practice,the last two days i have made 50 usd into 227 usd and both days statements are posted in my journal. what you say is 100% correct :knowing the theory is a far cry from actually doing it in live trading
i want to add that VPA or VAP is not a magic formula: i used it when i started out in day trading and i lost money ; this time 8 years later it has stopped my losses and trades are happening naturally. What changed between now and then? i do not know.
Not for all futures contracts, though. For some instruments the share of OTC traded contacts may be not so large comparing to exchange traded share