[mister ed]

	Quote:	BlowFish
	Now I'm not saying these tools aren't useful but you have to be careful how you interpret the info. Cheers.

Great post BlowFish. Now, let’s get some friendly debate going.

I would start by suggesting that a discussion about the bid/ask volume (definitions to follow) should be on a new thread. While we are discussing it here in the context of VSA, it is a separate concept – by all means marry the two together, but getting to a point where we can do so, and debating it on this thread, is going to frustrate those that want to concentrate on VSA.

Blowfish, if I can refer to your numbered points.
1. No issues here … Real time open interest – yes please!
2. No issues here. Those confused about definitions, BF has defined it perfectly – A trader who hits the bid, that’s an “aggressive� sell, a “seller� if you like, or “sell volume�. A trader who hits the ask, that’s an “aggressive� buy, a “buyer�, or “buy volume�.
3. I have an issue with smart = big. Observation of the big-lot trades that go through suggests to me that the big lot traders are not necessarily “smart�. It is logical that smart = big, but in my experience, not all big = smart. This may be an issue with how the data is presented, and I would love input on this. I am only speaking of the ES, my current understanding is that a 100 lot buy (i.e. a buyer who hits the ask for 100) is reported as a 100 lot buy even if he buys from a split of sellers, say a 5, 10, 15, 10, 30, 20, 10). Another point is the software exists to allow trade size to be split, so instead of executing one lot of 200 near-simultaneous execution of 4 lots of 50 (for arguments sake) can be done instead. My broker even offers a humble trader like me an “iceberg� facility to split up my limit orders.

Now, onto your conjecture BF – where you say, and I quote “This doesn’t jive well with the whole market delta volume@ask thing. Well not in the way its often presented i.e red 'selling' green 'buying'.� I fully agree – the marketing of it is far too simplistic, just because there is a truckload of deals at the ask, i.e. lot of aggressive buying, the price may not necessarily rise if the buying is running into a large limit order. This is a “failure� of the marketing of the concept, but is a feature of the information – big aggressive buying that cannot achieve a price advance is good information in itself. Indeed, in VSA a narrow range up bar on very high volume after an up swing in price illustrates this concept perfectly.

Also, BF “The Smart money does not often need to buy/sell aggressively except perhaps to kick start a move� – excellent point, and something I watch for.

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Jperl – in response to your post. This whole up-tick/down-tic versus volume at bid and volume at offer is not a debate I am fully cognizant with. The definitions I use are above, these are the definitions used in the Market Delta software, and In IR/T. I can’t speak for other packages.

To reiterate:
There is a Bid.
There is an Ask.

A deal struck at the bid price is an “aggressive� sell. Shorthand – a “sell�, what you would class as a “SUPPLY� trade.
A deal struck at the ask price is an “aggressive� buy. Shorthand – a “buy� – what you would class as a “DEMAND� trade.

Let’s say there is a sequence thus:
1. Bid = 25
2. Ask = 50
3. Trade at 50 for 75 lots. (This is an aggressive buy – reported as a buy)
4. Bid is now 50
5. Ask = 75
6. Trade at 50 for 30 lots. (This is an aggressive sell – reported as a sell).

Now, my understanding of what you are saying jperl is that the second deal you would class as a “buy�, or a DEMAND trade because the previous deal was at the ask and was a DEMAND trade. I disagree with your definition here, a hit at the ask is a demand trade, a hit at the bid is a supply trade, regardless of what the previous trade was.

Happily, my definitions coincide with the definitions used in the software I use (otherwise I wouldn’t use it).


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If I can go back a little. Tasuki has argued that there is no “hidden� selling or buying using the volume at bid and ask concept. I fully agree – the numbers are there in black and white (or red and green), the volume of aggressive buys, aggressive sells, and by implication the volume of “passive� buys and sells.

The motivations of the participants, or whether or not they are "smart money", are/is not laid out by these figures, that is for us to speculate on, but their actions clearly are.