[littlefish]

If I have an order for one contract one tick above a previous high and another party buys or sells to me filling the order making price trade that one tick higher.

Does my one contract purchase/sell agreement between another just like me have the same authority to move the market one tick as an agreement between two for 1000 contracts?

If a one contract agreement between two participants (or even outside forces) has the ability to make price trade higher or lower, the same as any other size, would one's focus on volume be beneficial or a distraction from what price itself is doing?

[littlefish]

Must not be getting any bites.

I also question a few more things related to this. If any size trade has the ability to move price up or down one tick, then wouldn't it be true that it would have the potential of triggering any stops that are at that level no matter their size?

What about the BIG moves that markets can make overnight on low volume? Is it the volume size that makes the big moves or the individual trades no matter their size at each given price change?

Would this not render a lot of 'large' individuals a lot less powerful than they would have you to believe about themselves and actually render the market a level playing field no matter how big you are?

If the trades no matter their size establish price, then that would mean if someone thought a market was a good buy at said price and bought 1000 contracts (assuming there was someone to sell to him 1000 at that exact tick), and three more came along selling one contract each. As long as their were ones who agreed to the transactions below the big guy's net long position. He would be in the red two or three ticks. Then if the three little ones forced a domino effect below his entry, he would be forced out of his position.

How can it be proven for a fact that a large volume position in the market actually supports it? Is it possible that it does not once it's established and that the only thing that does are orders actively being placed and triggered at levels no matter their size?

[clmacdougall]

Originally Posted by littlefish »

Must not be getting any bites.

I also question a few more things related to this. If any size trade has the ability to move price up or down one tick, then wouldn't it be true that it would have the potential of triggering any stops that are at that level no matter their size?

What about the BIG moves that markets can make overnight on low volume? Is it the volume size that makes the big moves or the individual trades no matter their size at each given price change?

Would this not render a lot of 'large' individuals a lot less powerful than they would have you to believe about themselves and actually render the market a level playing field no matter how big you are?

If the trades no matter their size establish price, then that would mean if someone thought a market was a good buy at said price and bought 1000 contracts (assuming there was someone to sell to him 1000 at that exact tick), and three more came along selling one contract each. As long as their were ones who agreed to the transactions below the big guy's net long position. He would be in the red two or three ticks. Then if the three little ones forced a domino effect below his entry, he would be forced out of his position.

How can it be proven for a fact that a large volume position in the market actually supports it? Is it possible that it does not once it's established and that the only thing that does are orders actively being placed and triggered at levels no matter their size?

I find myself asking the same questions you have, especially, "What about the BIG moves that markets can make overnight on low volume? Is it the volume size that makes the big moves or the individual trades no matter their size at each given price change?"
Maybe volume is a liar.
Specific markets seemed to control themselves dictating their own value in the past, so the players who traded that single market had control over it's perceived value. I wonder if those days are over.
Markets are reactionary now more than ever. When the ES moves through the night on low volume it is no less important than when it moves on high volume throughout the day. It is moving , be it on low or high volume, in response to whichever stock market / currency pairing at that specific time has control over the perceived value of goods produced.
When volume comes into a market has the perception of value changed? This is the only question which seems to matter.
What makes volume studies difficult is the repetitive nature of volume to look the same everyday, creating a "U" shaped pattern everyday in the ES.
It seems like instead of seeing volume prove value, we're watching portfolio's , "reacting," to the present reality of price. And if that statement is true than price, ( minus volume ), is the only true understanding of value that we have.
How's this for a step further, " all movement is commercial activity." Do you really think that any movement is going to be allowed outside of what the commercial traders want to have happen. It's a waste of time to try and split hairs over commercial /non-commercial activity.
The only thing we seem to have left is an indepth study of market structure / price movement in a timeframe which is not lagging but is in touch with how the maket decides what value "now" is.

[littlefish]

Originally Posted by clmacdougall »

Maybe volume is a liar.

Or, maybe volume is not a liar but rather cancels itself out. For every buyer there is a seller. If a thousand contracts trade at a given price increment, the market would see that as a hedge. Right? That price increment becomes fair value. Right? At which point the amount traded at that price becomes history and has no influence on the present or much less the future. Right?

So then how would price advance higher or lower from that point, putting either one or the other at a profit or loss? History would have to repeat itself again. A transaction (buyer and seller) no matter their size would have to establish a contract agreement at another price level creating fair value yet again. Right?

Originally Posted by clmacdougall »

How's this for a step further, " all movement is commercial activity."

If every price change is fair value, who cares who's activity it is?

Originally Posted by clmacdougall »

Do you really think that any movement is going to be allowed outside of what the commercial traders want to have happen.

By what means would 'they' allow or disallow anything in a zero sum level playing field?

[Tams]

Originally Posted by clmacdougall »

...
What makes volume studies difficult is the repetitive nature of volume to look the same everyday, creating a "U" shaped pattern everyday in the ES.
....

That's the lunch time lull...

[thalestrader]

Here is my experience with volume: When buying stocks to hold for more than the day, a pattern of rising volume indicates that mutual funds and professional investors are taking positions. This is good, for individual issues of common stock will only increase in rice over weeks and months if professional buyers continue to buy the stock. Price is still its own leading indicator.

For day trading, I have yet to see anyone demonstrate in real time how they use volume to make a trading decision that could not have been made by watching price alone. There are, of course, those who purport to use volume as a leading indicator of price, and some go so far as to say you could "almost" trade based on the volume histogram alone without the price pane. But, in the end, even they are trading price action, and not volume. Not that there is anything wrong with that, I just wonder why the reticence to admit that price is the determining factor.

Perhaps some have been able to use volume as a tool to aid them in making trading decisions; and if you have found that volume helps you, that is wonderful, and I would not want you discourage anyone from using that in which he or she has confidence.

But from what I have been able to determine, intraday volume, if it measures anything, measures relative liquidity, which is not the same thing as "buying interest" or "selling interest."

The best indicator of buying interest is a steady pattern of higher highs and higher lows in price, while the best indicator of selling interest in a steady pattern of lower lows and lower highs in price. I have done very well buying new session highs and selling new session lows, regardless of whether I had a lot of company at the moment I was buying or selling. In fact, one of my best trades ever was a long natural gas trade where there were a grand total of 16 contracts bought on a breakout when I bought.

All of them were mine, the lone piker.

Best Wishes,

Thales

[clmacdougall]

Would I be correct in saying that the, "lack," of volume in either an upmove or a downmove when compared to a large price range accomplished is the only telling factor of trading sentiment.
The reason being that demand overwhelmed supply ( or vice versa ) so quickly that large price moves were able to occur on low volume as resistance to the move was not able to stand in it's way in sufficient enough time to delay/slow it's momentum.
In effect the most telling part of sentiment is an "ease of movement" for price when compared to the struggle through either buyers or sellers which happens in another equal price range. Thus low volume large price ranges are telling of true sentiment and high volume similar price ranges are paramount to indecision.

[littlefish]

Originally Posted by thalestrader »

In fact, one of my best trades ever was a long natural gas trade where there were a grand total of 16 contracts bought on a breakout when I bought.

All of them were mine, the lone piker.

That's a very fine example of what I was questioning to begin with. Since it was you and only you who traded the tick above the high, even if you had traded one contract, you and the one who sold to you established the breakout. No matter how big the existing short positions were under you.

My argument if any is that it may be (or it is from my line of sight) a serious error to think that just because big volume has hit the market that it somehow 'holds' it up or down. My argument is that if each price change consists of an equal buyer and a seller, no matter the size, it becomes a neutral point creating no bias in either direction. That it is such a level playing field that a small player even at one contract can set into motion a change in the entire market no matter the size of the positions above or below it.