IMHO one of the best aspects of being a price action trader is that all activity (swaps, blocks, secondaries, etc.) is eventually reflected in the price. When I look at volume, I believe this is NOT the case. If I am correct in this assumption how does a trader compare the day to day differences (I swing trade, but same would hold true on a shorter time frame) if volume from some transactions (ie: spot secondary, green shoe, some swaps, etc) are not reported in a timely manner ? Thanks. Note...my feed is from thompson one, access to Bloomberg terminal if need/want, good 'Ol stockcharts.com off hrs. All give pretty much same numbers re volume.
Btw..tried to get an answer from "sprout" who was discussing volume quite eloquently on a previous thread until some meanies chased him away. LOL
Cool, new stuff I don't understand. Would you be willing to define swaps, blocks, spot secondaries, green shoe? Post a chart? Your question sounds like you are expecting volume to show these transactions during RTH.
@Sprout Ah, glad you are still around. My point/question is that off exchange transactions do not show during RTH. I believe Marc Fischer stopped looking at volume for this reason. If they do not show in a volume bar chart, how do you compare two time frames ? You don't know, what you don't know. (Thought you might like that)
That's a powerful one and certainty to be considered when expanding one ability to determine context at any given moment. Your specific question is beyond my knowledge atm. If it's similar to what I experienced in equites, it was at the closing bell, I would notice these large blocks of trades. The only thing I could discern is that the next day an opening gap would be present. These opening gaps really messed with me until I started de-gapping day to day. If you are doing equities, Jack Hershey Position Vector Trading is solid. Channels for building wealth and Building Minds for building wealth are exceptional and in the ET archives. In summary, (but by no means a replacement for going through the above material) One builds a universe of high-quality stocks by an initial sort of unusual volume. What we are looking for is the moment where there is disagreement in value which translates to DU (Dry up). Market participants are not participating, thus transactions are dropping. Well, the FI makes most of their money on fees and commissions so what has to happen before the market attracts new participants? Price needs to change. Sometimes this change comes from a calendar event or a new event. Other times this change comes from a market maker who recognizing a large sell/buy order on the books drives price initially in the opposite direction to attract price conscious folk/algorithms. A characteristic of this is low volume. This is what comes before a shift in sentiment. Not always like in the case of those liquidating large positions during RTH where one can see the shift in dominant volume associated with the dominant price movement. The lots sizes are larger in this case. On smaller timeframes, this shows up as the minority gaining control by executing market orders in the opposite direction of the now exhausted trend. Lot's of limit orders are left hanging unexecuted at the turn in sentiment. This is observable with the DOM. Turns are interesting in that there are three types. Back to larger timescales, By having a 65day avg volume parameter, the unusual volume comes in the form of FRV. Big money needs to hide it's activity otherwise all the frontrunners pile on and it costs more to build the position. However we can see First Rising Volume as an oh-so-subtle "rising of the tide". There are other criteria in building a HQ universe but it seems like you have the equities you trade, you just want to refine the timing of your trades with insights from volume.
Averaging volume by 65 days is one way to more clearly read volume, mind you'll get a 32.5 day information-lag so not necessarily for very short-term trading. What you're generally interested in is learning from unusual volume, very high or very low, and how price action develops after that. Another way is horizontal volume. What a trader should know is that prices with high clustering of volume is generally regarded as sideways PA, while price-areas with low volume (low volume nodes) is generally regarded as trending/breakout/breakdown/wild swing PA. These are averages (sums) though. So while there's differing opinions on what this should mean for trading, some believe you should take profit at high volume nodes, after entering at low volume nodes. Of course, when you do, the market won't necessarily support much liquidity or allow for tight stop-loss when entering at low volume nodes, and this alone won't necessarily improve odds more than 50/50 anyways. But at least a high volume node should statistically provide liquidity to get out positions initiated at low volume nodes, so makes some sense even for volume alone. This is very hard to automate, or at least haven't found anything consistent by myself, so believe it may be best for discretionary forms of trading - where this might help form trading ideas.
If you make an assumption that as a percentage of the total, dark volume is a consistent%, watching the volume you can see still provides information. I don't know if that assumption is true but since dark data is available delayed, you can test that. For me, I find volume is a tool to help determine temporary blow off tops and bottoms. Provides nothing for me on a daily basis but that does not mean you can not find data that helps. Bob