Actually the dollar volume is over 30 times. I stand corrected. Barely anyone trades the pit contract.
Why? I daytrade futures since 1990. Never used volume,never needed volume to generate valid entries and exits. I only need volume to fill my orders. But in the ES there is always enough volume to cover my needs.
Disregard volume in all your work, and you will (1) make more money, and (2) make fewer mistakes. Then, volume will no longer "matter".
To say that volume on the ES is worthless is a pretty bold statement since there are enough people who make a living trading the ES, basing their trading decisions mainly on volume, e.g. the market profile users... Furthermore, gqguy, may I ask of what nature your relation to http://www.rsksys.com/ is ?
vol only matters if it makes shit move! The paper always knows go short at 1482-1498 and hold on! Acknowledge paper and follow!
we can't see vol like we used too so why does it matter? No counter party why so have an opinion and take a stand. Gelber and Jump are not an issue with Kingstree not there anymore who cares?
Here is a paper from a prof at NYU on this topic. He finds most of the price discovery in the index comes from ES. It's kind of technical stuff but I think he is showing that when the ES leads the price change, it is less likely to reverse than when the pit or the etf leads. It is kind of dated and based on a limited sample, but it supports the idea that when the big players have info they break up their trades and try to hide in the highest volume market. You guys buy it?
Volume means everything. Volume is a measure of demand for supply at various price levels. You could highlight a chart of just the high volume areas and see the reversal points without the price shown. That seems to me like volume means something.
Could you? that would be great, its so tough to find time to perform these kinds of methods, in a practical way.