Textbook interpretation of high volume under a bull bar is 'Buyers coming into the market' With HFT traders dominant this phrase should be followed by '....and some exiting 200 milliseconds later' Is it possible that the volume on a 5-minute bar could be contributed to by one HFT scalping program entering and exiting several times within the 5 minutes in question ? Is the textbook interpretation of volume still valid ?
Only way for yourself to come to this conclusion is to backtest or forward test to see if volume has any relevance to a strategy. Myself I have tried to use volume as filters in my strategy and have found nothing useful for myself. Perhaps others have different conclusions. My bread and butter is pullbacks of a few variations. My best trades usually have high volume when I’m exiting. Usually when volume increases on my trades, price has gone parabolic above my Keltner bands( just a way of helping see volatility) and that’s when I’m cranking up my stops to get out the trade. Those chasing the break out and the fear of missing out will drive the volume up but when they stop buying price usually crashes hard and fast. So for myself volume would be a lagging filter. Also for myself with stocks, theirs always a seller and a buyer, their doesn’t have to be shorts building a position. Futures and options one could look at differently because your creating contracts or exchanging contracts but one never knows if it’s for a hedge, some multi leg strategy, or a spread trade. Very easy to look at old charts and create a story with volume and resistance and breakouts yada yada yada. Taking these things we think we see to put a profitable trade on is a different ball game.
Putting aside the question of commissions (...it'd be a dull-witted program that anticipated making 1/4¢/share while paying 1¢/share to get it done...), the short answer to your question is, "Yes. Of course." Loading or pre-loading a book for a single candle in 2017 is no different than pushing the same agenda over *minutes* in 2007 or 1997 or 1987 (remember *that* program??).... As soon as the 'push' in one direction goes away, the pressure to snowball, landslide, "pop!" or whatever else, soon goes away as well. And volume will still tell the tale: in a 1,000,000 share per day equity that suddenly sees 20,000 shares per minute selling for 5 minutes and down 0.25%, suddenly turns into green/*buying* pressure, and 140,000 over the next 5 minutes, to get back: *Somebody* just played the market like a fiddle, and sold 100,000, to buy 140,000 at a discount. Happens every single day, and are legal, up-and-up transactions in a free market. But for those watching volume, it announces loudly, "Agenda!!"
More I chat with other scalpers, the more I see how unconventional my systems are in terms of lagging indicators. Scalping is fast price action or Math or comparison and fair value. Fair value is rather funny though, who's fair value and that is where 20,000 hours plus of screen time comes to play. Indicators I use are so lagging, even long term investors in stocks might think too long out there... But where many young traders see a crossing of X and Y, I see the indicator much different, I am looking at angles or slopes of the X and the Y AND I see patterns based on totally different reasons there is even to have that indicator. So lagging means nothing to me except I am using it to have a different viewing of what the underlying is doing, Price's internals, did X cross Y on a violent crossing, smooth or even lazy crossing which could lead to false signaling of a cross. I often find those who say TA is useless, simple didn't do enough or read the chapter missing in the book. Volume I do find extremely useful in some fashions, and it is not normal volume but going the other way as in absence of volume is more importance to me than added volume. I find one pattern of where system waiting for retail to be hanged out to dry with small stops or getting to breakeven stopped out and see increased volume come in which would be retail getting out, but heavier traders taking other side and much more and often times HFT comes in then, prices expands and then retail got nerve back to jump on high flying train where larger traders getting out and price will start stalling some of the time, LOL.
I've been using volume for years, and I can tell you HFT has not affected things in the equities or commodities space in terms of the relative size of volume bars and what they mean. They are as reliable today as they were decades ago.
If you trade the longer time frames than the answer is no. On equities HFTs are doing far less volume than when the markets had only human market makers. The same volume formations & proportions are seen on equities today as the were long before HFT's existed. The predatory HFTs, and most HFTs do not fall into that category, can only alter the shortest time frames with their quote stuffing, spoofing, & layering tactics.
My "textbook" is still 100% valid, both on 5 min, and on daily. Post a chart where you've noticed that your "textbook" isn't valid anymore!