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FX Futures Volume

  • #1
  • First Post: May 18, 2007 6:40pm May 18, 2007 6:40pm
Volume is the one additional piece of information that I think could give FX traders the edge.

I don't mean bucket-shop pseudo volume as discussed in a recent thread. I mean the volume that is available when you trade FX Futures.

Has anyone here tried to use FX futures volume, to identify the big players in the market. Does volume give any clues when news trading as to which way the spike is going to go?

Same question for Time & Sales feed. Market depth isnt very useful when the top 5 bids/asks are constantly being changed by market-makers. But Time & Sales can be used to determine if the bid or ask is being hit.

I'm hoping this thread will provoke some interesting discussion.
If it's too good to be true, it probably is.
  • #2
  • May 18, 2007 6:52pm May 18, 2007 6:52pm
Quoting SimonK
Does volume give any clues ...?
Yes it does, but not as much as Volume + Open Interest Combined. Which, btw, is also not available in Forex.
  • #3
  • Edited May 19, 2007 11:20am May 18, 2007 11:06pm | Edited May 19, 2007 11:20am
The volume in the FX futures markets is still very US-centric, the trading volume tends to drop off outside of the US market hours. Thus, as an intraday indicator outside of US hours, it's not very helpful. It is helpful to a degree on the daily charts. As Bemac mentioned, the open interest combined with volume can also be somewhat telling, as are the weekly COT reports.
  • #4
  • May 19, 2007 2:04am May 19, 2007 2:04am
Open Interest v Volume;
I am sure that there are questions regarding this which, for whatever reason have not been asked yet... so...

True Volume = number of Contracts Traded{nothing to do with ticks}
Open Interest relates to the current number of Activly Open Trades.

OK Let's Get personal;
BMc thinks the market is heading UP. Some Agree, Others Disagree.

BMc Opens the market by Bidding 1.00 to buy 5 Lots.
Charles Says I'll take the other side, but only on 3 Lots
Vlm = 3; OI = 3
Jim says. I'll sell {short} the other 2 lots requested.
Vlm = 5 ; OI = 5
Charles does some MM Calcs and decides to Close out of 2 Lots {He wants to BUY 2 Lots to Cover}
Scott thinks the Market is heading Down and says "Hey Chuck, I'll Sell them to ya buddy, but not at that price, I'll give them to you for..."[Price + Spread]
Vlm = 7; OI = 5.
Price Plummets and Jim says TP Hit. "Buyin' 2"
Thom says I'll Sell you them.
Vlm = 9; OI =5.

Along comes Merlin and he says to himself, This market is heading up." and shouts
Buying 50 @ Market. Who's in?
BMc says You can have my 2. It just sank to my SL.
Vlm = 11; OI =5.
Noob Says I'll sell you the other 48
Vlm = 59; OI 53

Make any sense?
  • #5
  • May 19, 2007 2:08am May 19, 2007 2:08am
Quoting Bemac
Open Interest v Volume;
I am sure that there are questions regarding this which, for whatever reason have not been asked yet... so...

True Volume = number of Contracts Traded{nothing to do with ticks}
Open Interest relates to the current number of Activly Open Trades.

OK Let's Get personal;
BMc thinks the market is heading UP. Some Agree, Others Disagree.

BMc Opens the market by Bidding 1.00 to buy 5 Lots.
Charles Says I'll take the other side, but only on 3 Lots
Vlm = 3; OI = 3
Jim says. I'll sell {short} the other 2 lots requested.
Vlm = 5 ; OI = 5
Charles does some MM Calcs and decides to Close out of 2 Lots {He wants to BUY 2 Lots to Cover}
Scott thinks the Market is heading Down and says "Hey Chuck, I'll Sell them to ya buddy, but not at that price, I'll give them to you for..."[Price + Spread]
Vlm = 7; OI = 5.
Price Plummets and Jim says TP Hit. "Buyin' 2"
Thom says I'll Sell you them.
Vlm = 9; OI =5.

Along comes Merlin and he says to himself, This market is heading up." and shouts
Buying 50 @ Market. Who's in?
BMc says You can have my 2. It just sank to my SL.
Vlm = 11; OI =5.
Noob Says I'll sell you the other 48
Vlm = 59; OI 53

Make any sense?
But, then again, not much does. I'll read it again and learn some more, won't I?
  • #6
  • Last Post: May 19, 2007 4:21am May 19, 2007 4:21am
Quoting Bemac
Open Interest v Volume;
I am sure that there are questions regarding this which, for whatever reason have not been asked yet... so...

True Volume = number of Contracts Traded{nothing to do with ticks}
Open Interest relates to the current number of Activly Open Trades.

OK Let's Get personal;
BMc thinks the market is heading UP. Some Agree, Others Disagree.

BMc Opens the market by Bidding 1.00 to buy 5 Lots.
Charles Says I'll take the other side, but only on 3 Lots
Vlm = 3; OI = 3
Jim says. I'll sell {short} the other 2 lots requested.
Vlm = 5 ; OI = 5
Charles does some MM Calcs and decides to Close out of 2 Lots {He wants to BUY 2 Lots to Cover}
Scott thinks the Market is heading Down and says "Hey Chuck, I'll Sell them to ya buddy, but not at that price, I'll give them to you for..."[Price + Spread]
Vlm = 7; OI = 5.
Price Plummets and Jim says TP Hit. "Buyin' 2"
Thom says I'll Sell you them.
Vlm = 9; OI =5.

Along comes Merlin and he says to himself, This market is heading up." and shouts
Buying 50 @ Market. Who's in?
BMc says You can have my 2. It just sank to my SL.
Vlm = 11; OI =5.
Noob Says I'll sell you the other 48
Vlm = 59; OI 53

Make any sense?
Hi Bemac,

Yes, in other words, the futures market is order-driven, not price driven.

What is interesting to me is determining the large orders placed by institutions, not the market makers who pull their orders when the market starts to move fast. Also, looking at a Time & Sales ticker, whether pending orders are being filled at the market-maker's bid or ask.
I'm sure all this info gives us a clue to market direction.

Not sure if I'm allowed to paste a link, so I wont. But search the net for Brett Steenbarger's traderfeed blogspot and his article o Feb 17th entitled "Do the FX Futures Help Us Track Large Traders in the Currency Markets?". It explains what I'm trying to say in a much better way

P.S. I like your use of our famous forex factory mentors by the way
If it's too good to be true, it probably is.
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