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Hey...what about Volume?

  • #501
  • Mar 31, 2019 8:54pm Mar 31, 2019 8:54pm
Thanks for the insight.

"However, I am of the opinion (and its only my opinion) that when the data is from a reliable source AND the broker is well regulated and transparent, tick data can be and is a useful component of analysis"

Have any recommendations for a reliable source and broker?
  • #502
  • Mar 31, 2019 9:16pm Mar 31, 2019 9:16pm
Quoting westomarke
... Have any recommendations for a reliable source and broker?
I hesitate to state publicly any recommendations due to issues of liability or slander. However I will tell you that I have personally used e-signal in combination with cTrader and am very pleased with the results.

With e-signal, there is no broker. It is just a charting package and I believe that there are several brokers that have an add on that will allow you to link your charting package to execute and "see" orders on your chart. cTrader is also a "free" package, similar to MT4, and there are several brokers that allow you to demo the software just as you would the infamous metatrader.

I would however (all cautions aside) NEVER again return to MT4 or any metatrader software. The slimy nature of which would just take too long to list here. And I would additionally caution against any broker that uses or promotes this software. It is bad enough using retail brokers that you take a position and your broker is not only your counter party, but your counter party can also vary your quotes and see where your have placed your stops. Add to this the "special back office" software built into the broker's side of this software that allows your broker to spike or widen ONLY YOUR spreads and/or quotes and you have a completely untrustworthy system and those that participate in it are equally culpable. I will not do business with any of them.
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  • #503
  • Apr 3, 2019 7:44am Apr 3, 2019 7:44am
Quoting aaven
{quote} DonPato, Hope you recover fully well... interesting thread,Subscribed Thanks
Very interesting indeed!. I should be subscribing in no time.
  • #504
  • Apr 3, 2019 8:27am Apr 3, 2019 8:27am
Quoting Bryn23
{quote} Very interesting indeed!. I should be subscribing in no time.
Welcome!! I hope you will chime in with your contributions very soon.
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  • #505
  • Apr 12, 2019 10:36am Apr 12, 2019 10:36am
Hello again friends...

Its been awhile since I was able to post to this thread as I have had some very serious personal and professional issues to resolve. I have been monitoring for questions, and while there have been a few I'm disappointed at the lack of enthusiasm and hope this next post will stimulate more discussion.

As you may recall, there have been many discussions about order flow and volume especially on this thread. Most of it academic because we really have no "real" data on the issue as we would in other markets like futures, or commodities. However, I have found something that not only supports the theories I have put forth in my posts but also allows you to visualize it...and I am VERY excited about it.

I have found a programmer that has written a program to show delta volume in a market profile on EACH daily candle. I've had to adjust it some so that I can see only daily candles but I am quite pleased with it so far. (we are currently in demo mode)

As you know I have always theorized that each move, up or down, will go through 3 phases before (or right as) it forms a swing point. To refresh your memory these phases are: (1) Climax, (2) Exhaustion, (3) Absorption. Once again in the way of explanation (in Theory) these phases are:

  1. Climax - Order flow/volume is mostly one way. Everyone is doing the same thing. The order is dominated by overall net buying or net selling, usually in large volume
  2. Exhaustion - Order flow/volume initiated by the climax is waning and opposing order flow is beginning to step in and slow the advance of price in the direction of the climax dominance
  3. Absorption - Even though order flow pushes price to new extremes it cannot make price continue any further. And while one side of the market (buying or selling) is still dominant, those orders are being absorbed by larger opposing interests with pending orders. Those pending orders are absorbing the market order flow and not allowing it to advance.

Ok...enough said. For any further detail, just go back in this thread I have explained it ad nauseum.

So now to the exciting part. This indicator not only confirms what I was theorizing but also allows me to see it in real time and at the close of each daily candle. Ladies and Gentlemen, friends of all walks of life...I give you Daily Delta Volume Profile...

Attached Image (click to enlarge)
Click to Enlarge Name: Screenshot1.png Size: 74 KB

By way of explanation, (from left to right):
(1) You can see selling dominate then buying comes in and pushes price higher. (2) Rising prices start to alarm sellers who most likely expected prices to continue falling after such a strong sell off. This results in more buying and shorts stopping out. (3) Price accelerates higher due mostly to the sellers liquidation of their short positions. This causes a climax in buying. (4) After this acceleration buying remains dominant but only at the lows of the following two days (as would be expected). (5) Finally price starts moving higher on thin but persistent buying that stops out the remaining shorts and once again price accelerates higher. However, at the end of this day no more buying is seen. (6) At the start of the next day, buyers resume and a few jump in on the "break out" to new highs. However these buys are few and low in volume. They are easily absorbed and once the cascade down starts...there's no stopping it.

The same thing happens in reverse on the way down. The phases are not always in the same order, but it takes all three to create a swing.

Now let me show you how that looked on a regular candle chart:
Attached Image (click to enlarge)
Click to Enlarge Name: Screenshot3.png Size: 23 KB

How many would be willing to buy the bottom of these large bullish candles? Or sell the new high?

What do YOU think?
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  • #506
  • Apr 12, 2019 8:14pm Apr 12, 2019 8:14pm
Volume can be compensated by loudness
  • #507
  • Apr 13, 2019 8:39am Apr 13, 2019 8:39am
Quoting DonPato
Hello again friends... Its been awhile since I was able to post to this thread as I have had some very serious personal and professional issues to resolve. I have been monitoring for questions, and while there have been a few I'm disappointed at the lack of enthusiasm and hope this next post will stimulate more discussion. As you may recall, there have been many discussions about order flow and volume especially on this thread. Most of it academic because we really have no "real" data on the issue as we would in other markets like futures, or commodities....
Very interesting DonPato. I am familiar with market/volume profile but what is the difference with delta volume profile and market/volume profile? Coincidentally, i am currently implementing volume profile and volumes on FX charts and found the results to be satisfying.

How do you use this tool if i may ask? And would you be willing to share it or it's just in experimental phase?

Cheers.
  • #508
  • Apr 13, 2019 9:50am Apr 13, 2019 9:50am
Quoting CrocodileRex
... what is the difference with delta volume profile and market/volume profile?
Delta volume is the NET volume at each level. Buyers-Sellers (or Sellers-Buyers). Again these are market buying and selling which is what generate tick volume. So at every price point (at the end of the day) you can see whether buyers or sellers where dominant.


Quoting CrocodileRex
... How do you use this tool if i may ask?
I currently use the tool (and I am just beginning my observations) to confirm or refute my theories on how order flow works, particularly those phases I mentioned above. Now that I have a more objective method of "seeing" the order flow/volume structure I can make more informed decisions about entries/exits, and where (what price level) to run stops/limits.

With this indicator I am able to see what price levels (net) buying and selling dominate the order flow. I can then watch to see how price responded to these actions. While still discretionary on my part, I can make a more informed decisions as to whether I think Order flow dominance is increasing or decreasing and which direction the dominant flow is moving price. the best part is a clear and undeniable indication of absorption, which can allow me to better pinpoint entries or exits, and either reduce exposure to risk, or maximize profit potential.

Quoting CrocodileRex
...And would you be willing to share it or it's just in experimental phase?
The indicator is made specifically for cTrader and I do not have exclusive rights to it at all. It is available for sale at: www.algodeveloper.com I asked the proprietor if he coded for MT4 and he replied he did NOT. I also asked him if he would code something for "easy language" which is what Tradestation uses. He told me he was investigating the matter and would respond when he had the chance.
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  • #509
  • Apr 14, 2019 11:41pm Apr 14, 2019 11:41pm
Hi Don,

Where does the data come from for the input to the indicator? FX Broker? Futures Broker?

Thanks
  • #510
  • Apr 15, 2019 7:24am Apr 15, 2019 7:24am
Quoting westomarke
Hi Don, Where does the data come from for the input to the indicator? FX Broker? Futures Broker? Thanks
During this examination period I am using the data feed from pepperstone's demo server. I will them most likely try to use my data feed from TradeStation
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  • #511
  • Apr 18, 2019 10:47am Apr 18, 2019 10:47am
Hello all...In advancement of all our collective knowledge base. I am currently looking at ranges...since that seems to be what the market is providing of late. Thus while many don't like to trade ranges (myself included) I find that using delta volume profile assists in identifying whether or not the range is "stable", and which side of the order flow (buyers or sellers) seem to be most dominant in the range. Further the order flow that is now visible via this tool allows us to see WHERE (what price) the buyers and/or sellers are transacting.

The biggest "issue" with ranges is because they seem to defy any forecasting and in fact feel more like gambling than anything else in the market. The assumption is two fold. If prices will stay "stable" and only range, then trading becomes a matter of buying the bottom of the range and selling the top. However, how do we know if it will move from top to bottom (or vise versa) AFTER we enter? What if the price "breaks" the range just after I enter? Which side of the range should I engage? does it really matter?

I present this case study on USD/CAD which has been ranging now for 2 weeks, on the daily time frame, and 6 weeks on larger time frames. With that amount of time, one could say that this range (for the moment) is "stable". So what does that look like on a chart?
Attached Image

Typical range right? The top seems held by "support" at 1.3400 (major number) and the bottom around 1.3290-80. For those of you intraday traders, this is a dream come true...100+ pip spread on this range with 2 weeks of opportunity and who knows how much more?

So which side would be the most advantageous? Should I trade from the top down? or the bottom up? Where is the order flow inside this range?
Attached Image (click to enlarge)
Click to Enlarge Name: Screenshot2.png Size: 79 KB

NOW we can see clearly!! You can see that the sellers have clearly dominated the top of this range and are keeping it "capped". What is also clear is that (compared to sellers) buyers are not as "enthusiastic" about buying, but if they are willing to buy, they are not willing to do so until price is in the lower 1/3 of the range.

Further, any price that "breaks" out of this currently stable range, is quickly absorbed by the opposing order flow. There is no really but interest in selling below the range, and likewise, not very many (if any) buyers at the top.

My "interpretation" (being a complete rookie at this kind of charting) would be this:

  1. It appears sellers are "heavier" than buyers (at current price) and this dynamic will keep price from moving much higher - assuming this doesn't change
  2. Buyers are weak at best and are only willing to engage at the lower portion of this range, and those buyers may be profit takers from smaller shorts covering.
  3. Stops are likely building up on both sides of this range and it is a "crap shoot" which will stop out first. I suspect BOTH sides will stop before price continues...ie clear the board.
  4. If I had to chose which to trade intraday, I would chose to sell the top and take profit near the lower 1/3.

Again...only my opinion, but I would be greatly interested in YOUR opinion about this interpretation.

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  • #512
  • Apr 22, 2019 11:44pm Apr 22, 2019 11:44pm
Ok. I will make a stab at it.

The big boys (International Banks, MM's etc.) are buying as reflected by the selling activity from the retailers (Us). If this is true then at some point the big boys will start pumping up the price to start selling what they have been buying. When this happens is anyone's guess, but at least you might know the price direction.
  • #513
  • Apr 23, 2019 7:35pm Apr 23, 2019 7:35pm
Quoting DonPato
Hello all...In advancement of all our collective knowledge base. I am currently looking at ranges...since that seems to be what the market is providing of late. Thus while many don't like to trade ranges (myself included) I find that using delta volume profile assists in identifying whether or not the range is "stable", and which side of the order flow (buyers or sellers) seem to be most dominant in the range. Further the order flow that is now visible via this tool allows us to see WHERE (what price) the buyers and/or sellers are transacting. The...
From your chart what stands out to me is the 2 fake outs south. The first is on average vol , an average up bar which closes on it's high. This would signify to me retail have sold the breakout south and the pro traders have bought them . The second fake BO bar is a bit more volatile but similar in nature so knowing the pro's are long I would expect price to go higher from here and BO north of the immediate range and test the next level .
Never said I was Batman,all I'm saying is you'll never see us together.
  • #514
  • Apr 23, 2019 7:58pm Apr 23, 2019 7:58pm
Quoting headfake
... The second fake BO bar is a bit more volatile but similar in nature so knowing the pro's are long I would expect price to go higher from here and BO north of the immediate range and test the next level .
Today's trading has proven you correct. This market did break higher and very heavy buying. I suspect all the shorts stopped out and sent prices higher. Of interest to me will be if/where price comes back to retest the tops of this range.
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  • #515
  • Edited 10:39am Apr 24, 2019 10:25am | Edited 10:39am
More observations...

Hello all, sorry to be pedantic but I am currently making observations about the use of delta profile in the tick volume environment. I am hoping that I can translate this into futures trading as well...but I am yet to find someone who can (will) code the necessary indicator. However I am finding this fascinating to say the least. As usual, I am trying to find particular patterns the volume/order flow profile that mark swing points. I appears to me that I may have found something worth investigating.

Again, as is so familiar in the trading environment, any pattern that emerges is usually "relative" to the time frame and or the market. There is no rigid set of rules that I can come up with that will work consistently over time, however market conditions and participant reaction to those conditions do help you assess what those participants are likely to do.

I propose the following "normal" participant reaction:

  1. Most participants (if given a choice) would like to enter/exit the market right as a change occurs. Example: If you go buy (go long) exactly at or within a few pips of a swing low and likewise exit right at or within a few pips of a swing high...why wouldn't you? Why wait for "confirmation"? This would be true of most traders including the "smart" money...

So if the larger participants are what move the market AND if it is their order flow that creates swing points (by entering and exiting) would that show up in the order flow? Of course it would!! Thus if we look at the delta volume profile for each DAY, we should be able to see their orders being transacted and where (what price) they are transacting...

Therefore, on a significant move higher, we should see large blocks of SELLING just before or just after the swing point has formed...in fact this selling (profit taking) may actually be what creates the swing high.

Example:

Attached Image (click to enlarge)
Click to Enlarge Name: Screenshot1.png Size: 118 KB

You can see clearly here where opposing order flow, in each case contrary to the current move underway, causes the price to slow or even stop its advance.

The next thing to look for would be an "inversion" in the order flow...in other words a "normal" order flow should look like this:
Attached Image

Majority of selling at the top, majority of buying at the bottom...this is "normal". And to the extent of which side (buyers or sellers) is dominant the peak in the histogram will occur higher or lower. BUT: if you see the majority of buying near the TOP of an up move or the majority of selling near the BOTTOM of a down move, you may be looking at a swing point. Again note the "inversion" at the tops and bottoms of these moves...
Attached Image (click to enlarge)
Click to Enlarge Name: Screenshot3.png Size: 116 KB

Of course they NEVER occur in the same order. And it may be that at times, the order flow inversion creates the profit taking, or the profit taking creates the order flow inverstion...however, these two things combined seem to be consistent.

More testing and observations to come, but I believe that learning to recognize these "changes" in the order flow/volume profile could greatly increase accuracy and reduce exposure to risk on entries...in addition, seeing and understanding the order flow/volume profile will undoubtedly increase the efficiency and accuracy of exits, creating better risk-to-reward ratios. What could be better than that...lose less on losses and gain more on wins...

Now the thing will be to attempt to recognize this in "real time" and take action on the hard right edge.
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  • #516
  • Apr 24, 2019 1:39pm Apr 24, 2019 1:39pm
Is there a market profile indicator for MT4 that has red and green coloured bars like in the above post, instead of all just gray bars or all numbers?
  • #517
  • Apr 24, 2019 3:32pm Apr 24, 2019 3:32pm
Quoting BlackStack
Is there a market profile indicator for MT4 that has red and green coloured bars like in the above post, instead of all just gray bars or all numbers?
I am not aware of any, but perhaps someone reading these posts can advise? Or perhaps a programmer could take up the cause?
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  • #518
  • Apr 24, 2019 3:47pm Apr 24, 2019 3:47pm
Quoting BlackStack
Is there a market profile indicator for MT4 that has red and green coloured bars like in the above post, instead of all just gray bars or all numbers?
A simple Google search revealed this
https://www.mql5.com/en/market/product/29165

Amything further and you will need to do your own research
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  • #519
  • Apr 24, 2019 4:23pm Apr 24, 2019 4:23pm
Quoting DonPato
More observations... Hello all, sorry to be pedantic but I am currently making observations about the use of delta profile in the tick volume environment. I am hoping that I can translate this into futures trading as well...but I am yet to find someone who can (will) code the necessary indicator. However I am finding this fascinating to say the least. As usual, I am trying to find particular patterns the volume/order flow profile that mark swing points. I appears to me that I may have found something worth investigating. Again, as is so familiar...
You are correct and yes you will start to see patterns emerging (good work). I don't know any programmers but I trade like your describing manually with only using price action and tick volume .

You'll find that rather than moving the market the smart money are more concerned with "completing their business" and taking advantage of a situation (exploiting weak hands) hence why you see them in the volume around supp-res as there is availability .
Never said I was Batman,all I'm saying is you'll never see us together.
  • #520
  • Apr 24, 2019 6:21pm Apr 24, 2019 6:21pm
Continue to look for these clues...Looking at the daily chart on US Nat Gas (XNGUSD) I'm seeing what I earlier described as an order flow "inversion". Perhaps this could better be referred to as Absorption. The majority of market order selling was transacted at the bottom.
Attached Image (click to enlarge)
Click to Enlarge Name: Screenshot1.png Size: 40 KB

I intend to watch this with great interest. I still do not see anything that looks like major profit taking which I would expect to show up in the near future. Also the possibility of a stop run could cause major buying to take place. This was the case at the earlier high shown here.
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