The brutal truth of day trading

Hi Rick,

Fabulous chart detail thank you.

I will of course look into it deeper later.

Yes that final flash down last 2 x one min candles was wild. I had closed out right before then lol at a pre-target I had visualised going in.

Very interesting stuff. Cheers.

Hello, can you advice me where can i find those delta and volume futures please?
I never used volumes in my trading but this looks interesting to check out.
Thanks.

How did I miss this gem?

You are, if nothing else, consistently arrogant. But, never mind about the challenge. You are passing up on an opportunity to learn about trading the forex. So you go on talking about learning, and criticizing everyone, making unwarranted assumptions, and dreaming about the old days when you and your buddies hunted wild pigs. You know, all that bullshit you spread here that is utterly unrelated to trading the forex. You just go on pretending to be the worldly expert about everything except trading.

Peter, you have my best wishes...for getting your head out of your ass.

Oh GEfx, Did I touch a nerve there did I?

Perhaps you need an older dictionary to learn what arrogant really means instead of being content with "google".

One person's knowledge and know-how is another person's frustration. You and your 100 mates are just people and people tend to make errors in judgment when they do not understand certain things. I'm not "full of myself" and think I know it all. I just know how to spot someone who has reached their limits of knowledge and know-how and is too immature to admit it. So bravo.

It's not me you have to look at in the mirror everyday buddy boy.

The difference between you and me is factual not my imagination.

What I do is inheritable and can be learned by anyone who can see the importance of identifying fools amongst the long grass.

So you keep "trading the forex" just like people love "using the facebook" and believing whatever you want if you sleep better at night.

Your idea of me is so very far from reality.

What I simply have a problem with is people like you who think yourself at the apex of your foodchain, then someone comes along who has been very busy living in real life that forums and the like are seen as just fodder for the naive, the cynical and the poster child for the posers and wannabe's. You "may" know forex, as you say, but you have a great deal to learn about real life and people.

To me this is not some machoistic game or ego trip.

It's merely an opportunity to show people around that the nimrods who are "purveyors of information" on sites like this as well as the "inhabitants" are talking beyond the scope of genuine real life. And nothing that people on here say can change what they do not know or understand, no matter how much they try to cover it up.

Considering the nature of statistics and probabilities, I would have thought at least 1 out of your 100 mates (1%) would be aware of some of the things I have spoken about ??!!?? Maybe ?? Or not.

It says a lot about your group and its group think then doesn't it.

So .... there you go.

More chump change for you to digest.

Happy camping champ.


Peter

Looks like Peter is making your day and making your gossiping FF journey worthwhile. Enjoy!

He's the gift that keeps on giving!

Looks like Peter is making your day and gossiping at FF. Enjoy!

You are a shamless person .

Hello, Simnz,

Do you scalp, fading small ranges a-la "market making style", just with limit orders out of initial spread, for 1-4 ticks wins and 1-2 ticks losses, with around 80% win-ratio?

Greetings,

I have shared my 100% experience in various blogs.
If it helps you, I will be happy.

[quote=ryuryu;13551905]{quote} I don't know may be it is possible to use that spot forex tick volume data, but I have found it unusable. But futures vol data is very clear in comparison.
vol&delta from CME helps a lot to skip low vol sequences. The same time tick volume from spot forex can't be used for that purpose since it is meaningless.


The Use Of Volume in FX Trading

I have been interested for some years in trying to utilise volume into my spot Forex (FX) trading. I make no claims to be an expert in this area and most of my investigations have been based on the work of others. What follows is a summary of my somewhat incomplete and at times inconclusive discoveries.

In my experience the majority of spot FX traders don’t use volume at all. It is commonly said that because the spot FX market is decentralised, total volume is unknown and the readily available tick volume data has no value. Although this claim has been proven wrong it remains very persistent. In my view it illustrates that many people have no understanding of relatively simple mathematical concepts like co-relation or how to use them.

It has always seemed to me that spot FX tick volume had the potential to add to the understanding of price movement. Unravelling it however has proved to be a little challenging.

Apart from showing the changing liquidity of the FX market throughout the day, the histogram volume bars commonly shown along the bottom of a price chart have never been of much use or interest to me.

A couple of years ago I got involved in a volume related project with one of my trading buddies. It was based on a charting indicator called Market Profile (MP) . MP was developed by a Chicago Board Of Trade floor trader named Peter Steidlmayer . It was first made publicly available around 1985. Steidelmeyer also wrote a book – “Steidlmayer on Markets; Trading with Market Profile”.

Over time, numerous people have attempted to integrate volume into the MP concept. In this form it is commonly referred to as Volume Profile (VP) . Most of these manifestations seem to have evolved into commercial offerings for MetaTrader and some other platforms.

My friend had purchased one of these for a couple of hundred dollars but wanted to incorporate it into a MetaTrader Expert Advisor (EA) program for automated back testing. This was impossible to do with the commercial version because it did not provide any sort of programming interface. The vendors of course also did not supply source code for the program. My first task was to reverse engineer the commercial program providing two parts; a graphic user interface and the “engine”, a MetaTrader software class, that could drive the interface as well as having the ability to be independently incorporated into an EA.

As part of the reverse engineering process, I studied Steidelmayer’s book which contains a number of equations. I discovered that one of these equations appeared to be incorrect. To my mind, this rendered the whole MP/VP hypothesis invalid despite the fact that many people had been using this indicator for years and enthused over its usefulness.

This discovery also threw my friend a curve ball when I tried to explain that what he had been interpreting as valid signals from this indicator was probably nothing more than random noise.

I completed the indicator with an options button that enabled the user to switch from the old formula (Traditional Mode) to my own new formula (Contemporary Mode). To the best of my knowledge the subsequent tests that were carried out were inconclusive and this new VP indicator was never used as a part of any profitable trading strategy.





The above screenshot shows a situation on the 24th May 2021 for the AUDJPY currency pair where the Point Of Control (POC) for the volume profile (yellow histogram) is different to the POC of the price profile (blue histogram). A lot of the time both POC’s have similar values but on occasions they differ significantly. When this happens it frequently signifies a pending price move in the direction indicated by the volume POC. In the example shown this would be up.

From a volume perspective, all this indicator is really showing is that over that sample period, which in this case was about 8 hours, more trading volume took place at higher prices than at a lower ones.

While it is not possible to discern this information by simply looking at the standard price chart and volume histogram, it is still in my view a rather crude measure of combined price/volume action.

In order to try and distil the essence out of what I was seeing, I carried out a number of related tests with varying degrees of success.

One of the other more interesting and potentially useful techniques that I looked at is known as Cumulative Delta (CD) which utilises both tick prices and volume. This should not to be confused with CD from depth of market data although the two may well be closely related.

Like most of the VP offerings available, many of the CD indicators available come from commercial vendors. The information provided by these vendors and their so called independent reviewers often consists of a lot of hype and very little substance.

The idea itself is quite simple. Incoming tick data is split into buy and sell volume by mathematically manipulating the bid, ask, spread and tick volume size. The difference between buy and sell volume is the delta. The sequence of incoming delta volumes is added to to the previous value and accumulates over time to create Cumulative Delta (CD).


The above screen image shows my version of a CD indicator that runs on the MetaTrader 4 platform. Again you would not be able to determine this information just by looking at chart price’s and the tick volume histogram.

On the left hand side of chart we have a situation where price is moving in a horizontal range but CD is sloping steadily downward. This signifies selling with no corresponding price reaction. Price movement is possibly being restricted by large limit orders absorbing it.

In a couple of other places we can see small sections where price is moving more or less synchronously with volume. This possibly corresponds to times when there is no market intervention by large players. While not much of this is shown in this example, it actually occurs a good deal of the time.

We can also see a period where price is moving contra to CD before the big move of the day. Having accumulated sufficient funds for their move, the intent of the big players maybe just to contain price within a range until the big move takes place. It might be necessary to look at other things such as scheduled news releases or what is happening to some other significant cross currency pair to try and work out the reasoning behind these manipulations.

Gauging the meaning of the relationship between price and CD is obviously not a trivial exercise. In my view CD is unlikely to be of much use as a simple buy/sell indicator. It may however provide a great deal of useful additional information to a more experienced trader who takes the time to learn how to use it effectively.

Regards
Tim

Hi TraderTim

Great post and I see you have put a lot of work into that indicator.

Using Cumulative Delta can also work best when you can convert Bids and Asks into candles to show actual bias of delta.
It always looks like a great way to trade but as always, sometimes the market makers are buying but being forced price bearish for long periods.

Cheers

Is there any going back on what I said before?

[quote=RickM;13560097]I see you have put a lot of work into that indicator. Using Cumulative Delta can also work best when you can convert Bids and Asks into candles to show actual bias of delta.

Cumulative Delta Candles
High Rick
I did put a lot of work into the Volume Profile indicator but the Cumulative Delta Volume (CDV) indicator is a relatively new project that was inspired by some stuff I came across on the FF forum. It is therefore very much a work in process. I am still thinking about whether or not it is worthwhile trying to develop it into a useable tool and how best to go about it.

You probably can't see from the image in the previous post but each CDV entity is a one minute candle made up of individual ticks. Here is a zoomed in shot showing the current version of my CDV indicator on a 5 minute chart.


I would also be quite interested in comparing this CDV output with Cumulative Delta obtained from FX futures Depth Of Market data. Unfortunately, the entry price to get access to this sort of information seems to be quite high.

My initial enquiries suggest that I am looking at $US1000 + up front for a trading platform like Ninja Trader and $US100+ each month for CME futures FX data. Alternatively, it seems I can set up a significantly funded Futures FX trading account with a broker and get free or much cheaper data to use on the brokers proprietary platform. Since I have no current interest in either FX futures trading or commercialising this MetaTrader indicator project, it is quite a lot of outlay for a privately funded R&D project which is essentially just a hobby.

Regards
Tim

Of course!
I apologise for my previous, somewhat tactless comment to you.
As Peter Caleb would probably say "Think before you push the bloody button". The same principle also applies to my trading.
Regards
Tim

Is it default indicator software available in MT4 or should be coded on the side? Wanna try it too!

Hi Murcott,
Are you referring to the Volume Profile (VP) or the Cumulative Delta Volume (CDV) indicator? (see post 991)

Neither are default MT4 indicators. Both of what I showed are just my experiments. There seems to a number of commercial indicators available that use either or both of these techniques. Some of them seem to be quite expensive and the vendors never supply source code which means you can't study them to see how they work. For me this is not much use.

You can find a few attempts at doing these sorts of things on this forum where the programmers have provided source code. From what I have looked at so far, none of them seem to be complete or work particularly well. Again they appear to be people's experiments. If you just want to experiment and play around with someone else's code, they probably make a good starting point but I don't think they would be practical or satisfactory in a real world trading situation. For example the CDV indicator requires tick data history which MT4/MT5 doesn't provide. You therefore have to figure out a way to provide this for every currency pair or instrument that you want to use the indicator on. While this is doable, it is not a quick or easy task to set up.

Others on this forum have suggested that it may be a easier and more satisfactory to use an FX futures trading platform and data to help make trade decisions that you then execute on your MT4/MT5 platform.

I am still thinking about all this and whether or not it is worthwhile trying to develop any trading tools along these lines for my "trading mates". It will depend a lot on the level of interest, information and feedback I get from other traders who have more experience than me in this area.


Regards
Tim

Hi TraderTim,
Hmmm.. I also apologize for my rude response to the original post, should have thought from your point of view also.
Hopefully all is good now.

Thanks for your time

Hi TraderTim

There is no way to avoid paying for a futures platform or data if you require the right tools, but $100 a month is needed.

I just took a nice trade on AUDUSD about a hour in from New York open ( yes I love trading during periods of Low Liquidity ) and I think it points out the real reality of trading liquidity using indicators like the Cumulative delta volume.

First of all I trade liquidity, not price. I couldn't care what the price is, whether its bullish or bearish or where the day high is because these factors will become apparent very quickly with futures data. The issue with the trade I took was there was about 1600 Bid (buyers) units and about 700 Ask's (sellers) unit on AUDUSD futures. The Cumulative delta indicator was clearly showing Bullish Delta but the price was stalling, it should be going up but there was resistance.

So here is why this indicator can mislead.

A big player was manipulating the liquidity by keeping the Bid orders high in values but spread out, then condensed the range of the Ask orders producing a high density region which contained most of the Asks. So we had say 15 pips of Bids 2 :1 over Asks but most Asks were in a tight 5 pip range.
We had therefore low liquidity density on the Buys but very high liquidity density in the Asks.
It did not matter Buyers were 2 : 1, there was a dense wall of Sellers blocking movement and therefore absorpted of price.

It went down as it always would.

Therefore no Cumulative delta indicator holds any key information to provide a hint of Bias, only by studying Liquidity can we hope to find a solution for our next trade.

Traders spend too much time determing the amount of volume on a chart without ever attempting to estimate the amount of liquidity that's present.
The truth is Liquidity is very sparse, quite thin and easily manipulated by anyone who has a few dollars.

Spot FX moved exactly in sync with Futures - no mystery if we wait patiency till we get Clarity of vision.

Hi Rick, I've been trying to understand price movements from the point of view of clearing active buys and sells, but your post makes me think that Pending Orders also get recorded in Volume - is that true?
i.e. if price is currently 1.20, and someone place a big Buy Order to buy at 5.00, will that be reflected in Volume?
TIA