What is DEMAND/SUPPLY volume?

[monad]

Blowfish has made some very pertinent points at elite trader on this matter:
http://www.elitetrader.com/vb/showth...a&pagenumber=3

[Skog]

Here is an interesting document on this subject.

Written by Richard Malato of MarketDelta.

It was posted on their website a couple of years ago. Don't know if it's still there, but you can at least read it here.

It gives you a thorough introduction to the microstructure of the auction process in the electronic markets and clearly describes the relationship between aggressive and passive traders.

Enjoy.

-Skog

[darthtrader]

	Quote:	mister ed
	both definitions offer valuable insights and maybe there is a role for using both.

I think it would be interesting to see what it would look like if you only plotted volume that was hit at the ask AND the previous tick was an uptick and vice versa. Or take it even further, 3 upticks then then an ask getting hit. That to me would be a much better way to define an aggressive buyer or seller and then just view everything else as noise. I think the problem though for this is you would need a true tick feed and the way tradestation handles this it wouldn't even make sense.

[BlowFish]

	Quote:	monad
	Blowfish has made some very pertinent points at elite trader on this matter: http://www.elitetrader.com/vb/showth...a&pagenumber=3

I had forgotten about that thanks for pointing it out.

[BlowFish]

Mr Ed,

Why market moves to size I don't really bother myself too much about any more. Observation shows it does. (Though there are many interesting reasons put forward and I certainly like to hear them).

There is a particular type of order that doesn't show on the book but sits there all stealthy like. The good old stop. Guess what, every one who has been trading for a while knows exactly where those are likely to be situated....one obvious place is above/below previous swing highs and lows. This is why we see 'tests' and backing and filling it's the basis of why price moves how it does. It is simply seeking out orders.

Actually that bought about a paradigm shift in me (though I forget it often in day to day trading so it is not ingrained yet). Essentially rather than price 'bouncing off support' these areas where orders are bunched or likely to be bunched are actually magnets for price. Put another way on the whole price moves too support or resistance. This is subtle difference but is interesting and I think exploitable.

Just some more food for though though I guess we need to start looking for specifics that might help us see what is going on.

Cheers.

[BlowFish]

Heres a couple of ES charts from this morning - the thing that cries out to me is that the price often drifts on a couple of ticks after the volume comes in. Oh and sometimes it comes in late. Any other observations welcome as this is quite experimental really. Edit: I added the arrows so you could see the bars the peaks occurred on.

Cheers,

[monad]

	Quote:	BlowFish
	Heres a couple of ES charts from this morning - the thing that cries out to me is that the price often drifts on a couple of ticks after the volume comes in. Oh and sometimes it comes in late. Any other observations welcome as this is quite experimental really. Edit: I added the arrows so you could see the bars the peaks occurred on. Cheers,

What charting software you using Blowfish.

Is this upvolume/downvolume analysis similar to Market Delta. and if so have you found it useful in your trading, in conjunction with VSA

[brownsfan019]

	Quote:	monad
	What charting software you using Blowfish.

Just have to take a look.

[BlowFish]

It is volume@bid vs volume@ask on multicharts. Because each range bar is 1 tick wide it gives a visualisation of what volume was done at each level and what side. This chart is just a timing chart, currently I am looking at it after a turn to see if it shows something a 5 min and 2 min chart doesn't.

I am not using 'pure' VSA, though use price bars volume and channels for trade decisions. I have been observing this particular format of V@bis V@askfor a couple of weeks though have observed various delta configurations for a couple of years on and off.

My objective here is to see if this sort of resolution can nail turns a bit better. I think that delta lends itself better to fine resolution. The peaks on the charts would seem to confirm that. Its still quite experimental for me though I did scalp off footprint charts about 18 months (or maybe more) ago fairly successfully.

[BlowFish]

One of my motivations is to see if there is a way to read the tape without looking at the tape!

Another chart seem clear that someone decided support the market at the arrow. Is this useful to know? Maybe guess if there was potential support on my 5 min chart it might be. Of course this could still easily break later on.