[VSA] Volume Spread Analysis

[Tasuki]

	Quote:	mcichocki_
	Please correct me if I'm wrong, isn't the volume shown there just at bid or ask? Red if at bid or green if at ask? And if that's correct how reliable do you think it is to expect that an order at bid was a sale and at ask was a buy?

OK, MC, I'll be happy to correct you. No, this is not bid/ask volume. Rather, these bars are created from the Time and Sales data, which just represents actual sales, not bids and offers. In a standard T&S window, there are two colors, red and green. The bars in my upvolume indicator simply tally up the number of contracts in each sale that's green on the T&S, and the bars in my downvolume indicator simply tally up the number of contracts in each sale that's red on the T&S. The only novel thing I've done is to arrange my Tradestation indicators so that the upvolume appears inside the downvolume on the same bar--it just gives you a handy way to look at the difference between buying and selling, or to be more accurate, selling on the offer and selling on the bid.

The green represents selling at the offer price, i.e. selling as price is going up, which means that the buyer is buying when the price is going up, which means that the buyer is "paying up" because he expects the price to go up even further. In other words, the green represents buying pressure.

The red represents selling at the bid price, i.e. selling as the price is going down, which means that the seller is selling at the lower price (the bid price is always lower than the offer price) because the seller expects prices to go down even further.

If you look at the up vs down volume for a while, you will convince yourself that this is not "smoke and mirrors" (as bids and offers often are when they don't result in actual trades), and I think you can also convince yourself (as I have) that this information is very valuable.

[tawe trader]

JJ, I would most probably have taken the trade in realtime as well. You did well to get out for a breakeven trade.

I was wondering though ........... if we follow the futures charts and thus the futures 'smart money' players via VSA then do the 'smart money' sometimes get it wrong, which would lead us to be wrong ?

Say in this case (your trade) the 5min futures 'smart money' were selling (and/or going short) but the larger timeframe cash mkt still had plans to keep trending up, this would have resulted in the 5 min boys being on the wrong side of the mkt.
Or am I completely on the wrong track here ?

I now know after PP's explanation that it looks like you mis-read the chart and there were sign's of strength not weakness.

What I didn't like about the chart was the upthrust bar had the same size volume as the previous up-bar. I was thinking that maybe there was a sudden change in the mkt and there was some hidden buying in the upthrust.

[Primavera]

	Quote:	BlowFish
	Yeah the typos actually helped. You thought hang on that's not right and would actually think about it then correct in the margin. A hidden test. Actually it was only a couple of charts with a letter missing and I think there where also a the odd instance of accumulation switched with distribution. Cheers.

BlowFish (I also address this to Sebastian)

I have the Undeclared Secrets version of the book and have also noticed some errors. I certainly agree that it can be helpful to confront these errors to aid one's learning. I have not formally documented these and have put in an order for the TG version of the book.

May I ask some questions:
(a) does the TG version of the book include in its entirety the orignal version of the book with all errors corrected ? I am aware that it contains some additonal aspects
(b) would any of you guys who have documented the errors be prepared to share them - not breaching copyright, but merely to say on page 20 chart 1 should read bar A type of thing. I would be prepared to do this myself but it would require a complete re-reading because I have not documented the typos when I found them, so if someone has already done it then it would help. However if the TG version has done it all then, personally, there is no point in me doing this
(c) On another forum we have the start of rumblings of, shall we say "new ventures". Would it be wise to hang fire before purchasing boot-camp discs etc. to see further developments

Primavera

[jjthetrader]

	Quote:	tawe trader
	JJ, I would most probably have taken the trade in realtime as well. You did well to get out for a breakeven trade. I was wondering though ........... if we follow the futures charts and thus the futures 'smart money' players via VSA then do the 'smart money' sometimes get it wrong, which would lead us to be wrong ? Say in this case (your trade) the 5min futures 'smart money' were selling (and/or going short) but the larger timeframe cash mkt still had plans to keep trending up, this would have resulted in the 5 min boys being on the wrong side of the mkt. Or am I completely on the wrong track here ? I now know after PP's explanation that it looks like you mis-read the chart and there were sign's of strength not weakness. What I didn't like about the chart was the upthrust bar had the same size volume as the previous up-bar. I was thinking that maybe there was a sudden change in the mkt and there was some hidden buying in the upthrust.

Tawe, I knew you'd have probably done the same thing.

Some of the "good signals turned bad" I find are ones where the professionals did indeed unload a good deal of contracts but not all. This kind of action can occur at profit target areas and being R3 for the day this might have been one of those cases. In fact my entry price was 1505.75 and it didn't close much higher than that (1507.50) so rather than turn against me it could actually be said to have moved sideways and if held onto would have seen a profit today if I had a 6 point stop (which I wouldn't have had).

So that upthrust did take quite a bit of wind out of the rally's sails but today's daily bar for the ES is looking like a no supply so next week may see the next profit target of the professionals.

True, professionals get trades wrong to, even Tom Williams.

cheers boys!

[jjthetrader]

	Quote:	Primavera
	On another forum we have the start of rumblings of, shall we say "new ventures". Would it be wise to hang fire before purchasing boot-camp discs etc. to see further developments Primavera

I haven't herd these rumblings. Could you elaborate?

[Primavera]

	Quote:	jjthetrader
	I haven't herd these rumblings. Could you elaborate?

http://www.trade2win.com/boards/pric...tml#post368722

http://www.trade2win.com/boards/pric...tml#post368764

http://www.trade2win.com/boards/pric...tml#post369114

[mister ed]

	Quote:	Tasuki
	Many pages ago on this thread, I recommended an enhancement to VSA in which volume would be broken down into volume up vs volume down. The "experts" on the thread didn't like my idea,

Hi Tasuki,

I didn't see that post where you recommended breaking down the volume, I sometimes can't keep up with this thread! I am no expert but I agree it is very useful additional information.

[Tasuki]

	Quote:	mister ed
	Hi Tasuki, I didn't see that post where you recommended breaking down the volume, I sometimes can't keep up with this thread! I am no expert but I agree it is very useful additional information.

Hi Mr. Ed, refer to permalink #982 on p. 99

Taz

[mister ed]

OK - got it thanks Taz - yep the huge volume at the ask (the buy volume) does show it is unlikely the bar was an upthrust test, adds clarity to the total volume figure on the bar.

[Tasuki]

	Quote:	PivotProfiler
	1. Ultra High volume on the up bar. Markets do not like Ultra High volume up bars because they can hide selling within them.

Well, actually, they can't if you use my up-inside-down volume indicator (or any indicator system that shows both up and down volume). The belief that volume could be hidden (selling on up bars, buying on down bars) originated decades ago, before the advent of the internet and our incredibly sophisticated charting platforms. If you watch both up and down volume progressing on a single bar, you can plainly see when there's "hidden" buying or selling.

Needless to say, the problem with hidden volume still applies to those charts where you can't parse out the types of volume. On Tradestation, daily, weekly, and monthly charts won't allow you to insert up and down volume indicators (maybe other charting platforms are different, I'm not sure), but for intraday trading, hidden volume is a thing of the past.

Tom Williams has correctly pointed out that the exchanges have intentionally dragged their feet on providing accurate volume information for a very good reason--the folks that rule the market don't want you to know what they're doing. As Tom points out, there is no damn good reason why we can't get intraday volume on indexes such as the $SPX in this day of supercomputers, and don't get me started on FOREX. Still, for those of us who wisely trade contracts where you can get intraday volume, the separation of up vs down volume is an added level of information that can unmask the hidden buyers and sellers.

The last time I presented this idea, many pages ago on this thread, my idea received a lukewarm reception to say the least. Before you all go jump down my throat, PLEASE do yourselves a favor and watch the up/down volume for a week or so and see what you think.