Volume patterns in futures

Discussion in 'Strategy Development' started by erlewine, Jun 16, 2005.

  1. For those that integrate volume patterns into their futures/commodity systems, can anyone shed some light on the best ways to reduce "noise" associated with futures rollover, or suggest a readily accessible source of volume data in the spot equivalent for currencies and bonds?

    Stocks are easy since one can always revert to NYSE or SPY volume during ES & SP rollovers, but I haven't been able to find a similar spot equivalent for 30yr bonds and/or EuroFX (obviously there are liquid cash markets in both, I just don't know where to track the data)?

    Thanks
     
  2. The synthetic contract works, I think.
     
  3. hcour

    hcour Guest

    I use total vol (total vol of all open contracts).

    H