I usually ignore volume in my futures trading. Tonight I was going through the indicators I used to play with and decided to take a look at an old one I crafted to try to see what professionals were doing. The formula below will give you a large number if you have a lot of contracts happening in few trades and a negative number if size has decreased since "window" bars ago. It looks like this (EL): Code: VolOverTicks = v / ticks; RelativeVoT = VolOverTicks - VolOverTicks [window]; I find that like any other things in trading, there are two or more interpretations and it is very much an art of interpretation. Haven't watched this in real time. Anyone use something like this in their trading?
Same thing every open and close on the ES. This study confirms the saying "amateurs on the open, pros on the close."
NQ gives a much clearer picture than ES Around 800 on the 14th the lowest reading is registered as amateurs get wrong footed before the big move...