Surfing Risk Intraday - Volume Profile and Order flow

Quoting visler

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does vah ,val and vpoc for euro future look similer for the past 4 day look similar to vah val vpoc in picture below ? i have used the indicator posted by springger with tick volume {image}

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Quoting 236dave

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Hi RS, As you said it would ok to post some charts, here we go, using ES as an example. I think the charts look a bit busy, what do you think? First one is M5 using trading period 0700 - 2045. Second one is M120 for 120 days, using same trading period 0700 - 2045. Third one is Daily for 1000 months. Dave {image} {image} {image}

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Quoting Risk Surfer

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{quote} Hey Dave, thanks for the post 2 observations I'd make at this point, the charts do look somewhat messy but I think this is mostly due to all those red and green lines giving the 'birdcage' effect. Is it possible to reduce the sensitivity of those lines so that you only have the major peaks and troughs drawn in? Here's my 120 minute/120 Day volume chart for comparison {image} Second point is that I see you're using the 07.00 - 20.45 session for your charts. Note this my trading window only and not relevant when it comes to charting. Enforcing...

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Quoting dappa

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To risk surfer I have a question, the swing highs and lows, the areas where there was low volume and price turned, are those levels where there were no willing buyers (up move) , no willing sellers(down move). Now the levels where you have high volume and price turns, does that mean that’s a “value are” meaning there were lots of orders there and large transactions were conducted? If so then the remaining orders that were unfilled , is that what causes price to shoot away? If that’s the case then , yes they big money do loose a little something...

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Quoting MCRotter

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{quote} Great questions... I want to hear what RS has to say on this too, but I have some potential things for you to think over. There are two types of orders, limit and market. -Market orders cause price to move -Limit orders prevent price from moving. All market orders are matched with a limit order, and all buys are matched with a sell order. So a buy market and sell limit are matched - always. The volume profile at any particular price simply shows matching of a buy market order with a sell limit order and vice versa.

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Quoting MCRotter

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{quote} Price only moves up if the buy market order cannot be matched to a sell limit order at the current price.. Lets say price moves up. There are two things which we know... 1- there was a lack of sell limit orders 2- or to put another way, an excess of buy market orders You can't in any particular area know how many buy limit orders are remaining.

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Quoting MCRotter

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{quote} But there must be some. What we do know about high volume areas is there must have been a lot of limit buy and sell orders to prevent price movement.

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Quoting MCRotter

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{quote} What we know about low volume nodes is that there must have been very few limit orders to prevent price movement.

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Quoting dappa

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{quote} {quote} Yes that I understand But tell me, when a limit order is filled, doesn't that limit order turn into a market order and seek liquidity? For example, if I place a buy limit at a level, my order gets transacted, I am now in the market, correct? If so then the only way for me to get out is to sell, wether I sell lower or higher all depends on the buying pressure if price moves in my favor correct? So a limit order is a standing order but when it get hit , it turns to a market order and in a sense has to seek liquidity to get out...

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Quoting dappa

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I guess my question is really , how do you know when price turns, if its because of lack of interest to sell or buy or if its a surplus of orders that turns price around ,which in turn creates a swing point? How do you know the difference in relation to volume, that I would say is my real question. So price is in an up move and turns around, makes a swing, is it because of lack of buying, or selling pressure turning price around, and what types of orders are responsible solely for that turning point, market orders coming in to sell or limit orders(turning into market orders) creating sell pressure. Or, lack of buying , so buyers turned sellers forced to sell lower to get filled and price drops (if that's a true scenario) to get out, how do you know the difference? How do you distinguish between the different contexts , with respect to volume? Ahhh, got it all out.

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Quoting dappa

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I guess my question is really , how do you know when price turns, if its because of lack of interest to sell or buy or if its a surplus of orders that turns price around ,which in turn creates a swing point? How do you know the difference in relation to volume, that I would say is my real question. So price is in an up move and turns around, makes a swing, is it because of lack of buying, or selling pressure turning price around, and what types of orders are responsible solely for that turning point, market orders coming in to sell or limit orders(turning...

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Quoting Risk Surfer

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{quote} PS. You could use a Time and Sales or a Footprint chart too look back in case you missed it in real time on the DOM

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Quoting MCRotter

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{quote} Where do you get these RS in the absence of a DOM? Is it something your broker provides or something that the CME provides for all markets it trades? This is what I like about futures, there are no tools like this in the spot market that I know off, and I personally believe you cannot read it off a chart alone. My broker / charting package does not provide this info

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Quoting 236dave

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{quote} Hi RS, Made the recommended changes and here is how the ES looks now, ie, reduced sensitivity on peaks and valley's and now using 24 hour data: Are there anymore improvements that you could recommend? Thanks Dave {image} {image} {image}

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