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Hey...what about Volume?

  • #421
  • Nov 20, 2018 9:25am Nov 20, 2018 9:25am
Quoting DonPato
{quote} I've been looking for something along those lines for my cTrader platform, but as of yet cannot find it.
Unfortunately it is for ninjatrader 7
Necessity knows no law except to conquer
  • #422
  • Nov 20, 2018 9:29am Nov 20, 2018 9:29am
Quoting 3ndlessHope
{quote} Unfortunately it is for ninjatrader 7
Yes I understand...as well there is something available for sierra charts...but my platforms (TradeStation and cTrader) don't have anything like that available...and I'm not in the market to change platforms quite yet

Thanks though!!
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  • #423
  • Nov 25, 2018 2:05am Nov 25, 2018 2:05am
Quoting DonPato
{quote} That would very much depend on your broker. I did cover this before but I'll go over it again...your broker (especially if you are using MT4) displays the tick volume within their clientele. So yes this might be true. It is best to find a broker that will at least provide the volume data from their liquidity provider which should be substantially more reliable. In the end, the spot FX market is decentralized and there is no central repository for this data so it will be the large liquidity provider's data (ie saxobank, deuchebank, loyds)...
Thanks Don for your encouraging and insightful post. Heads Up: I ask a lot of questions so I will devote to reading your entire thread as I get more involved with tick and volume in the futures market. I have ruled out both in spot fx from my research but understand the basic dynamics of order flow and how orders are matched. With that said, I still disagree on several fronts. Allow me to explain but please know that I am just like any other retail trader with no insider knowledge:

If a retail broker tick represents a real transaction between two retail broker's clientele, price must move to represent that transaction for that broker. If this were to happen then almost all brokers price feed will vary based on 'presumed' supply demand so please explain how is price feed is universally maintained at par across all retail broker platforms?

Here's my simplistic view of how price moves in retail spot fx:

Price moves not because of supply or demand between two traders. Price is like a train with no stops or path or end destination. Feeds are provided by primary LPs between their interbank "SD" across their customers. Retail brokers are just one collective entity to provide liquidity across all their customers to their LPs via aggregation of orders. There is no REAL order matching going on within the retail broker complex across their retail clients ans hence a tick in retail platform is not a gaurantee that the tick is coming from your broker. Either they take the other side or pass it over to the LP with some limited capability to manipulate price feed via spikes or spread widening or other backend tools that we all know of. If what you say is true that every retail broker will have different "tick count" bar on each H1 candle with varying price feeds. I don't believe that is the case with brokers (just to prevent arb opportunities). In other words, if Citi is a LP to Broker 1,2,3,4,5 then orders across all these brokers are aggregated and dealt with by Citi which also tells me that these LPs need the retail order flow but not in small sizes. Like broker aggregates price quotes, in return, our retail orders are also aggregated and sent to LP with via STP or as an collective hedge to address consolidated risk across the broker's order book as in $xM in USD, $yM in EUR, $zM in GBP in overall risk exposure and not in individual pairs or positions.With billions in traded volume across retail brokers, it is not a small change for LPs (and the reason for offering line of credits to brokers who in turn make more money on swaps by offering higher leverage to their customers). In my book, it's not the broker but the LP that runs against our positions and move the price to trigger margin liquidation events across the retail broker clients.

There is a reason why MT4 brokers are given their own "servers"....which are nothing more than virtual hosts. I have left Spot FX so I will limit my rant and focus on volume based elements that you are sharing in this thread :-
Staying in my lane...
  • #424
  • Nov 25, 2018 10:05am Nov 25, 2018 10:05am
Quoting VEEFX
... Heads Up: I ask a lot of questions so I will devote to reading your entire thread as I get more involved with tick and volume in the futures market...
If nothing else...my attempt at answering questions strengthens or calls into question my understanding of the market structure...

Quoting VEEFX
...If this were to happen then almost all brokers price feed will vary based on 'presumed' supply demand so please explain how is price feed is universally maintained at par across all retail broker platforms?...
The price feed is not really the exact same price from one platform to the next...in fact I have noticed differences in data between one account and the next from the same broker. This is especially true with MT4 brokers...If you have read any of the earlier posts in this thread you will see that one of my biggest issues in retail FX is the quality of the data you receive. Often time you may need to go outside your broker to a service like e-signal.

Quoting VEEFX
... If what you say is true that every retail broker will have different "tick count" bar on each H1 candle with varying price feeds...
While it is not very pronounced...this can be true...once again depending on WHO or what amalgam of liquidity providers the data is coming from.

I understand and can feel your frustration with the Retail FX market and completely support your decision to move to markets that are more transparent. I did the same thing which is why I trade futures. However the point of this thread is that the FX market, yes even the retail spot market, works the same way, albeit less transparent.

Again, one of my earlier posts mentions that for this very reason, I trade daily charts and higher time frames, so that all the data in an entire day is "settled" and then reported. I (like you I suspect) do not trade intraday charts on retail spot. However, I do believe that FX market (as I am utilizing it) can make an render far greater returns on investment funds than pretty much any other vehicle. Annual returns of 20%-50% are reasonable and achievable. If my ANY other investment vehicle could offer that for my savings account I would gladly place my money there and leave Spot FX behind...however...the most I have seen even in off shore investments is 7.5%...Come on! On the futures side I can do that in a week...on spot I can get that in a month...

So I guess my points are these:

  1. All participants in All markets must interact with each other in the same way. Using the placement of orders
  2. This order placement and withdrawal is a constant process and constitutes a "flow" of orders that is continuously waxing and waning.
  3. By its very nature the flow of orders will never be "efficient" at all times and small but consistent inefficiencies will always be present in the order flow
  4. These inefficiencies in order flow PRECEDE price movement
  5. By learning to detect and recognize these order flow inefficiencies you have an edge that produce a greater probability of profit while simultaneously risking a very small amount of capital.
  6. These opportunities are scale able in both time frame and position size.

I hope this has not discouraged you from seeking more information on the study and use of volume...it is an integral part of order flow and market structure. At times it feels like you're trading with one arm tied behind your back in the spot retail, but with enough study you can turn that disadvantage to an advantage against the broker. Think of it like this...that broker can see the order flow on his books and also on the data coming in from the liquidity provider, and is using it against you. Wouldn't it be nice to even the playing field a bit?

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  • #425
  • Nov 25, 2018 12:46pm Nov 25, 2018 12:46pm
Yo Don long time no see, if possible can you please post more examples of your Forex swing trades your taking or took recently so i can use them for studies. I'm not asking for signals or anything like that. Thank you so much

EDIT: And your future scalp trades if you can thanks, the DJI futures you trade. Love seeing examples like those
  • #426
  • Nov 25, 2018 1:02pm Nov 25, 2018 1:02pm
Quoting zachmodus
Yo Don long time no see, if possible can you please post more examples of your Forex swing trades your taking or took recently so i can use them for studies. I'm not asking for signals or anything like that. Thank you so much EDIT: And your future scalp trades if you can thanks, the DJI futures you trade. Love seeing examples like those
Happy to... I'm away from my computer right now but when I return later today I will post some of both for your review
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  • #427
  • Nov 25, 2018 3:44pm Nov 25, 2018 3:44pm
Quoting zachmodus
Yo Don long time no see, if possible can you please post more examples of your Forex swing trades your taking or took recently so i can use them for studies. I'm not asking for signals or anything like that. Thank you so much EDIT: And your future scalp trades if you can thanks, the DJI futures you trade. Love seeing examples like those
Hello Again Zachmodus...Attached please find some of my recent trades on futures and current trades outstanding on FX...i hope these help you.

BTW...commentary and trade data were captured as part of a reporting process I am doing for a client, so they can understand how the process functions as well. It is also part of my process of review after each day's trading is complete...so I can remember my stupid mistakes!!
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  • #428
  • Nov 25, 2018 3:46pm Nov 25, 2018 3:46pm
Do you guys know if volume profile is useful in fx? or is it only good for stocks?
  • #429
  • Nov 25, 2018 4:05pm Nov 25, 2018 4:05pm
Quoting venividivici
Do you guys know if volume profile is useful in fx? or is it only good for stocks?
I would find it extremely useful...IF I could find one that does it candle by candle for my platforms...as of yet I have not found one...have you found one for cTrader?
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  • #430
  • Nov 25, 2018 4:12pm Nov 25, 2018 4:12pm
Quoting DonPato
{quote} I would find it extremely useful...IF I could find one that does it candle by candle for my platforms...as of yet I have not found one...have you found one for cTrader?
I found this but I dont know if its good enough.

https://www.algodeveloper.com/product/volume-profile/
  • #431
  • Nov 25, 2018 4:47pm Nov 25, 2018 4:47pm
Quoting venividivici
{quote} I found this but I dont know if its good enough. https://www.algodeveloper.com/product/volume-profile/
Been there... found that. Apparently it works only an a "future" version that has not been distributed yet by my broker.
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  • #432
  • Nov 25, 2018 5:45pm Nov 25, 2018 5:45pm
Thanks so much Don, I really appreciate it
  • #433
  • Nov 25, 2018 6:19pm Nov 25, 2018 6:19pm
Quoting zachmodus
Thanks so much Don, I really appreciate it
Enjoy...I hope you find it useful
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  • #434
  • Nov 25, 2018 8:14pm Nov 25, 2018 8:14pm
Quoting DonPato
{quote} Enjoy...I hope you find it useful
Thanks for the futures examples.
  • #435
  • Nov 25, 2018 11:54pm Nov 25, 2018 11:54pm
Quoting venividivici
Do you guys know if volume profile is useful in fx? or is it only good for stocks?
I've been using tradingview's volume profile tool and i find it very useful. There's some good volume profile indicator for mt4 as well if you search for it. The one i am using is called akift's rectangle volume profile tool.
  • #436
  • Nov 26, 2018 12:09am Nov 26, 2018 12:09am
Quoting DonPato
{quote} If nothing else...my attempt at answering questions strengthens or calls into question my understanding of the market structure... {quote} The price feed is not really the exact same price from one platform to the next...in fact I have noticed differences in data between one account and the next from the same broker. This is especially true with MT4 brokers...If you have read any of the earlier posts in this thread you will see that one of my biggest issues in retail FX is the quality of the data you receive. Often time you may need to go...
Thanks. I am slowing getting into understanding "order flow" in futures as you are not the first one to tell me about order flow preceding price movement. Someone else also mentioned it today! If that is true then there is definately an edge to exploit on a consistent basis. Hopefully I can use this thread to ask my noob questions. It has always been a puzzle for me to figure out what drives momentum in price. Apparently it is this so called bid/ask imbalance in volume caused by market orders to upset the balance in the order book by conservatives/passives using limit/stop orders. Could you please tell me if buystop and sellstop orders are also considered passive orders or do they play a role in incrementally adding in to the heavy hand of imbalance caused. I think they add weight as I am seeing very decent forceful directional moves in NQ (I have only watched, tested and traded NQ). FYI-I am finding great success with buystop and sellstop laddering of orders towards rapid/aggressive scale in/out during decent moves on NQ. I shall remain a trade small/trade often kinda guy until I find a proven low risk strategy that works well with my personality.

Regarding going back to Spot, you will have to 1) tie me upside down and hang me for 2 days to kill all my brain cells and 2) give me a well documented edge/strategy to test to convince me to make a U turn or trade spot in parallel. I am based in USA so outside of price manipulations, my options are limited with FIFO and Hedging brokers although they are not related to the topic of this thread. Without FXCM, choices are limited and I rather not build a profession in such an environment hence the move to futures.... but in principle and in a ideal world, what you are proposing is possible as Futures pricing is derived from cash/spot fx majors so you might be on to something but it needs to be an quantifiable edge. Looking at intraday futures orderflow and daily in spot fx (as an example) may be an uphill battle. I am glad this is only a 11 page thread to catch up and participate. Just to say it, 7% weekly returns in futures is plenty (for me) to generate a 7K or $1K daily income. I am shooting for 100 Ticks/20 points daily target per contract (and then scaling up the position size once consistency is maintained).
Wondering what is your trading style in Futures and which instrument has proven more profitable for you and for how long?
Staying in my lane...
  • #437
  • Edited 2:38am Nov 26, 2018 12:23am | Edited 2:38am
Don - Please tell me if the 39 contract @ 6570 bear any weight in your orderflow analysis. Market is quite illiquid atm so I guess what I am asking is... 1) does the theory about exhaustion and absorption varies given the time of the day/session 2) depend on which timeframe or tick/volume chart you use? I am hoping the response would be... "it should not matter as we are looking at RAW orderflow data". If that is the case, kindly educate how to look at the raw data itself using footprint/profile/volumebars etc. Perhaps then we could translate the numbers into what we see visually on charts that we traders love to interpret. (I am not a chartist but coming to futures with a completely open mind with a blank whiteboard to paint the picture as I see fit)

Edit: Interesting read.....http://blog.themistrading.com/2015/1...tch-a-spoofer/
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Staying in my lane...
  • #438
  • Nov 26, 2018 8:35am Nov 26, 2018 8:35am
Hello Friends...I will get into answering your questions. But in response to Zackmodus' request, I thought I would share today's trade with you. I have added commentary on the screen shot so if you have questions please let me know. This trade lasted only 15 min and was during the pre-market before all the craziness set in...I really like days like these!
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  • #439
  • Nov 26, 2018 9:06am Nov 26, 2018 9:06am
Quoting VEEFX
...It has always been a puzzle for me to figure out what drives momentum in price...
I have had this argument with others ad nauseum. Try NOT to think of price movements in terms of physics or math..."Momentum" is a physics term and is NOT applicable to the markets. Your next statment is however right on the money!!

Quoting VEEFX
...Apparently it is this so called bid/ask imbalance in volume caused by market orders to upset the balance in the order book by conservatives/passives using limit/stop orders...
Hit the nail on the head here. The very basis of order flow is this:

  1. "Passive" Participants (liquidity providers) place pending order above and below the "market" (current price). These order are literal liquidity at levels that each participant wants to be counter party
  2. "Aggressive" participants place market orders at the current price ("market") and are filled assuming there is enough liquidity available at that price.
  3. As soon as the liquidity is used up at the market price will tick to the next level...which way price moves depends on the orders that are left UNfilled. If there is a surplus of buying then price will tick higher...and conversely if there is a surplus of selling price will tick lower...

Its that simple.

Quoting VEEFX
...Could you please tell me if buystop and sellstop orders are also considered passive orders or do they play a role in incrementally adding in to the heavy hand of imbalance caused...
A "stop" order is really an OSO order (order sends order). Remember that only selling liquidity can be placed above the current market, and only buying can be placed below...thus a "buy stop" is really an order that tells your broker that if price reaches x price (which is currently above the market), then immediately execute a market order...which necessarily means your market order is placed in the line with the rest of the market orders and filled at the BEST AVAILABLE PRICE...it is not always the price you indicate...again depending on the available liquidity at the moment your order hits the market.

This is always a point of confusion. Especially when they think their particular broker doesn't "respect" their stops...its not that. Its as if you had manually tried to close your position with a market order. But lack of liquidity caused you to be filled at a price that wasn't what you wanted. In fact in times of high volatility (many participants...little liquidity)...price swings wildly looking for liquidity to fill the orders that is placed.

This brings us to what happens when "stops are run", and the idea of a climax bar. I'm sure you can imagine a point (usually a range break) where price accelerates out of an area and appears to never look back. This is usually one side of the market (buyers or sellers) that are being stopped out and their stops are creating a HUGE influx in market orders. This influx overwhelms the available liquidity and caused price to advance rapidly in one direction. I call this a climax bar.

This situation also occurs and portends the beginning of the end of a trending move. Consider the case of price moving higher...at one point price accelerates higher as if by "magic". This means that all the sellers have given up. They are exiting their shorts with buy orders at the market. (either manually or being stopped)...both are market orders. This usually means that EVERYONE even the retail traders are on the band wagon...so let me ask you this question and you can chew on it for awhile...

What happens to price once everyone who's going to participate is now in? Who's left to keep buying and driving the price higher? What do you think might happen next?

Quoting VEEFX
... Regarding going back to Spot,..
I completely understand...no worries...trading is trading, and if you find greater clarity and success in futures let THAT be your "go-to" market. I think that once you become more accustomed to using order flow and seeing how it affects price, you will also start to see those same patterns in ALL price movement no matter what market. Perhaps you might delve into Commodities, or Stocks...it really doesn't matter. As long as the market you are trading is liquid and a ZERO SUM market.
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  • #440
  • Nov 26, 2018 9:42am Nov 26, 2018 9:42am
Quoting VEEFX
1) does the theory about exhaustion and absorption varies given the time of the day/session...
Absolutely...While the theory doesn't vary the order flow does...I'm sure you are familiar with what happens at the opening of a session...price moves wildly for about 1/2 hr until things settle down. This (as you know) are people participating and the huge influx in orders causes swings in price due to liquidity coming in an being used up...etc...see my last post. But yes time of day does matter a great deal.

As a bit of an example...in your futures trading, what happens around 11:30-1:30 (eastern time)? Have you seen that the price action kind of goes "dead" or seems to act "stupidly"? What was once working only 15 min prior now doesn't seem to work? This is the result of a drop off in order flow. People are either (1) going to lunch or (2) London trading is closing. The resulting drop in order flow causes price to "drift".

Conversely, after about 1:30 (time are not exact)...the market picks up again as people come back from lunch, and then toward the end of the session it becomes like the beginning of the session...wild price swings as day traders close out their positions and liquidity dries up until the next session.

Quoting VEEFX
2) depend on which timeframe or tick/volume chart you use? I am hoping the response would be... "it should not matter as we are looking at RAW orderflow data"...
The response you asked for is correct..."it should no matter"...however it does...sorry. This is because each trader or group of traders that participate in the market has a vastly different object and purpose for their participation. And as such, these participants look at and execute on any combination of time frames. So depending on which type of trader is dominating the market at any given point in time you will see price develop on the time frames they are utilizing...

Thus if longer term participants are dominant in the market, the smaller time frames are crushed...and the longer time frames more accurately reflect the current conditions...however if shorter term scalpers and day traders are more dominant then the shorter time frames and tick charts more accurately represent the current conditions. I never know and can never tell by just opening a chart and looking at it. I therefore have several time frames open at the same time and I watch the market for awhile to see which one seems to most accurately reflect the current market conditions.

I use tick chart moving from 150 ticks (smallest) to 12,150 (largest). I really never know which chart will be the "dominant view" until I see how price is reacting to order flow...

Quoting VEEFX
,,, (I am not a chartist but coming to futures with a completely open mind with a blank whiteboard to paint the picture as I see fit)... {image}
I am mostly a chartist and looking at raw data on the order flow board, especially during the open, is dizzying and quite madding...Litterally! So what I watch for is price REACTION to order flow, and this brings us back full circle to DELTA. So if I see the order flow is "one sided"...meaning more than 3x one side...like 3x more buying than selling...I expect price to move higher...quickly and produce a larger "one way" candle, (Climax). However if those same conditions produce a small candle or even a bearish candle that indicates (absorption). Then there is the "anomally" or as I call it the exhaustion. Where a candle will have more selling than buying YET finish bullish.

These three conditions when they occur in rapid succession or in "waves" signal the end or "exhaustion" of one side of the order and consistently produce a swing point. Whether that swing point becomes a reversal is a matter for another discussion...however. for me...most of these small swing points are enough to produce a small profit for the day and allow me to consistently make profits AND have a life outside the office.
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