Volume case study during News

These are 50 tick bars on Invester/RT charts with DTN data which is the best of the best in all my experience. I am using GBP futures from CME/Globex to show volume and price. The red moving average is a VWAP (volume weighted average price). The VWAP is important because when price is above the VWAP it signals that the majority of traders short the market are losing money and the majority of buyers in the market are making money. The pink and blue lines are value areas established by time/price/volume. The solid lines are present day data, and the dotted lines are yesterday's data. If you've used market profile you can understand what value areas are. Investor/RT takes it one step farther with volume data.
In the first indicator's pane we see volume highlighted in green or red based on buyers or sellers controlling the compression.
In the second indicator's pane we see daily accumulated volume (Delta Bars) flowing in a moving average fashion highlighted in green or red to identify buyers hitting offers or sellers hitting bids. The wick measures the high of the buying or the low of the selling which would be the extremes of the compression.

3:30am GBPPPI Input m/m http://www.forexfactory.com/images/m...mpact_high.gif0.6%
1.0%1.4%http://www.forexfactory.com/images/m...us_revised.gif


3:30am GBPPPI Output m/m http://www.forexfactory.com/images/m...impact_low.gif0.2%
0.3%0.4%


as we can see the hour leading into the news there are long orders hitting the gbp futures.
the news spike itself was dominated by long orders hitting the offer.
immediately after news we see traders flattening out and creating a thin market for prices to gap and allow traders to get in at better than market prices. during these times it is common to see price gapping up during sell volume as banks post sell orders at 2+ pips better than market. cumulatively after news the market went net short until 8am Central time (central is 1 hour earlier than EST and is standard time for futures contracts on CME)

3:30am GBPTrade Balance http://www.forexfactory.com/images/m...mpact_high.gif-6.29B
-6.6B-6.9Bhttp://www.forexfactory.com/images/m...us_revised.gif


leading into the GBP TB we see weak buying.
the spike itself is dominated by buyers hitting the offer.
the post spike is mainly flattening and perhaps some reversing as down volume hitting the bid is potentially greater than buying during the spike.
the post news market is very thin again tuesday after trade balance numbers as we see small volume candles show light buying through the news spike's high followed immediately by heavy selling.

3:30am GBPIndustrial Production m/m http://www.forexfactory.com/images/m...mpact_high.gif0.6%
0.3%0.3%

Prior to Industrial production we see ranging volume largely undecided with it's direction. this is very common prior to NFP release on the same day.
The spike is ruled by buyers with the majority of spikers out of the market 3 minutes after release.
post news shows us a confused market that is better left alone.

7:30am USDNonfarm Employment Change http://www.forexfactory.com/images/m...mpact_high.gif132K
125K190K

The great NFP shows us selling prior to release as price climbs indicating banks are getting short at better than market prices. When I say banks I mean smart money which can be interpretted as hedge funds, large specs, CTA's, etc.
When the news comes out there is hardly a deviation in the actual/expected however the revision is worth a ton and promptly moves the market into USD strength. As you can see during the spike there are virtually no traders speculating on price. Once the revision data is absorbed by traders we see consisten selling for 1minute post news followed by confusion. In the next 15 minutes we see volume trending up very gradually against price that seems to be ranging with a downward bias prior to the explosion up to create the infamous NFP trading range.
There are accusations circulating in the trading world that someone is leaking NFP data and by doing so is consistently reducing our daily range and spike range. As you can see in this image the amount of pre news selling is compelling. If all these traders were to have taken their position after news we would most surely see a much larger spike and a greater continuation post news for much more profit potential to small specs.

6:00am GBPInterest Rate Statement http://www.forexfactory.com/images/m...mpact_high.gif5.75%
5.75%5.50%

Leading into UK rate statement we see clear selling from 1 hour out.
The spike itself is down and volume confirms with sellers hitting bids.
Directly after the spike we see price appreciating on light volume. By the time an amount of substantial aggressive buyers hit the market the move is nearing completion. The remainder of the day plays out a selloff of GBP on heavy volume selling in consistent waves allowing small specs to come in to buy on lows and large specs working price lower with volume all day.

9:00am USDISM Non-Manufacturing Index http://www.forexfactory.com/images/m...mpact_high.gif60.7
58.159.7

ISM the main focus of the FED presents with light selling ahead of release in the hour prior to the spike.
The spike itself is amibiguously controlled by sellers hitting the bid followed after the spike by very thin volume maintaining a downward accumulated direction.
After news we see a gap in volume that is difficult to understand. The nature of the indicator does not allow for intraday gaps so this must be some kind of bad tick, so if we adjust the volume to connect from close to open as it should we see heavy selling entering 13 minutes after the spike until 40 minutes post spike. The rest of the US session resulted in steady buying or flattening of positions.

the problem with using globex trade data is that on most fx futures contracts a significant volume is made up of pure spot/futures arb. What ppl must remember is that wrt fx, futures follows spot and not vv. There have been on occasion instances where there have been bids/offers in excess of 10k contracts(whether intentional or not) on the futures which provided substantial support/resistance flowing through to the spot.

SCCZ
go back in your own historical posts and calculate how many of your posts have actually enriched the forum vs how many posts take up space or presumptuously critique other members.
The results might benefit all of us including yourself.
It seems you have some market knowledge but you presume you know everything leaving no gap for error.
Your previous argument regarding correlation being wrong but correlation existing intermittently between bonds, currencies and equities was unneccessary, disjointed, pointless and in it's current form a waste of board space.

Mr. Madison, what you've just said is one of the most insanely idiotic things I have ever heard. At no point in your rambling, incoherent response were you even close to anything that could be considered a rational thought. Everyone in this room is now dumber for having listened to it. I award you no points, and may God have mercy on your soul. -Billy Madison

you can choose to ignore my posts if you wish. Forums like this are not just about contriubuting but posting opinions. I prefer to post when i see someone (whether in my opinion of factual) seems to be goign down the wrong way. If you disagree ... well that's what discussion forums are for. If you truly dont think you could learn anything from me (or anyone else for that matter) then I suggest you stop sending my pms asking me questions

For the the love of pete.
I sent you a PM proving to you that 10year notes and currencies are correlated. I sent you proof from people much more intelligent than me and obviously more open minded than you. Please if you have something worthwhile spit it out. If you are going to live in your little world where spot and futures are not correlated or arbbed don't bother posting. If you mentioned something worth reading I would not be posting this stuff. If someone else said something on this thread about volume or prices I would give them the time of day.
Do what I have told you to do, Self-indulged person and look back in your own posts. Have a come to Jesus with yourself and figure out that you are not promoting this board. You are hindering this board.
While you're at it look back in my posts and see that I am here for the greater good. I'm sure you'll never concede intellectual superiority to anyone or god but you absolutely have to admit I'm promoting the well being of this board 10x's more than you.
I am very sorry to say this on the board, but, "SHUT YOUR DAMN MOUTH IF YOU DON'T HAVE SOMETHING WORTHWHILE TO SAY."
Not too many people in this amazing world we live can piss me off, but you, Sir are capable.
I'm going to send this to you in a PM as well.

bravo

hey FORCE, why are you going off track with this great thread you have posted? i thought sccz97's comments added to what you were saying, not subtracted. i rated this thread 5 stars yesterday because its one of the best ive seen in a while. was a bit disapointed to see the new direction this morning

...as my father would yell over his shoulder at me and my brother when we fought on long car trips. This is an interesting thread. Civility and polite discourse benefit everyone. So turn that frown upside and keep our eyes on the prize, etc., etc. Pretty please?
Thanks in advance for your kind consideration of this matter.
-Cheers,
Taters

Might be YOU who can't handle the questioning whether you deem it worthy of response or not.

Sorry for being xtra cute but I'd like this thread to survive.
Sorry if this question is too much of a tangent but...
I like the style of FxORCE's charts, and I have been trying to make a "poor man's" buying/selling pressure guage using the Accumulation/Distribution indicator and a Metatrader custom VWMA that are superficially similar to the posted charts.
BUT:
since MT4 does not offer constant-tick or constant-volume bars, and all volume is tick data not actual volume, is is possible to make something on my platform that has more than just a passing resemblance to the posted charts?
In other words can tick volume ever replace actual volume?

Sorry for the detour, Everyone. I'm going to post a few more charts today after trading.
Merlin thanks for the support. It's not what I thrive on but it's truly an honor to provide data you deem noteworthy.
I'm going to add 10year to these case studies as well.

Poor man's buy/sell pressure is what I'm using, Taters! Investor/RT and DTN is dirt cheap. If you are trading without volume you are walking down the street blindfolded.

Another comment made was, "Can we use the tick volume from MT4?"
Yes, tick volume shows you valide S/R. Look on 1,5,60minute for the largest volume on your charts right now. Go do it right now. Mark with a vertical line on any compression the highest volume. Double click the vertical line and make sure it's drawn in the background or you won't see your chart lines. Now market the close of those bars. Notice as time moves forward price bounces off this area many times. Use some common sense now. this is a stretch for Scuz but please try to follow. Why did large volume enter the market here? ( I know I know you are looking at tick volume and not true size. We already stated this many times so please don't post here.) At the release of news we see this volume enter on the open of the candle so we really need to market the open of the candle with a horizontal line. Ok, now go look how price bounces very well of the news open candles. Wow! Yes I agree. Someone should fashion an EA that could mark all these levels with a horizontal line. How would the EA or indicator decide to mark the open vs the close? This board has very talented coders. I'm sure they already know what I'm talking about.
Something else for the coders here....Investor/RT has an auto fib feature that draws a fib on the high and low of the last "X" number of bars. Very cool feature because you can set two fibs and they constantly redraw on new highs/lows from different compressions.

What chart platform or broker will provide volume information for currency pairs?

Thanks,

Frank

Frank your info is the first paragraph of the thread. I'm charting futures to see true volume. Many times we see the volume before the forex movement. You have to remember Forex is fragmented and can be gapped much more than futures. I watched another episode of this happening just 10 minutes ago. EURUSD broke out 5 pips above consolidation but volume did not show a valid breakout. Of course the forex moved back into consolidation. This is an effort by banks to make money off trigger happy forex players.

7:30am USDRetail Sales m/m http://www.forexfactory.com/images/m...act_medium.gif-0.9%
0.0%1.5%http://www.forexfactory.com/images/m...us_revised.gif

7:30am USDCore Retail Sales m/m http://www.forexfactory.com/images/m...mpact_high.gif-0.4%
0.2%1.6%http://www.forexfactory.com/images/m...us_revised.gif



here is the 10year note futures contract traded on eCBOT. I use this contract to establish my trend regarding forex pairs so I also use volume analysis of this instrument to show sentiment on breakouts and continuation.

The multi colored horizontal lines are auto fibs drawn at 333 or 610 bars. You'll notice the 333 is noted beside the % retracement.

This image is US retail sales. The 10year is thinly traded at these hours so we see cumulative selling on rising prices. During the spike we see modest amounts of buying directly to the continuous VWAP and the 38.2% retrace. The 10year appreciated in price for 1.5 hours and then nose dived after Michigan Sentiment released much stronger than expected. The second chart highlights the release of Michigan Sentiment. We see a very similar wave pattern post release Michigan compared to post release retail sales. Many traders faded the move at the VWAP which coincided with a 38.2% retrace. Then fundamental traders returned with larger volume to push through the support.

Continued to show image.