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ES - which trader categories drive volume
- Thread starter fader
- Start date
Market Delta doesn't have the size filtering ability, but Trademaven is also order entry (MD is not). If you like this kind of analysis it's worth spending significant time with both.
Quote from bundlemaker:
I helped to develop the various volume profiling tools within Trademaven. Using Esignal as datafeed (esignal provides tick by tick, trade by trade data) Trademaven can filter each trade based on price, size, and whether or not the trade occurred at the bid or the ask. The filtered trades can then be "profiled".
If one takes the time to play with it a bit, it becomes very clear that you can see very interesting patterns among various lot sizes in respect to valid supply and demand levels.
Thanks for the input.
BTW Chick's words not mine...
âOf all the different bits and pieces of information I have come across during my thirty-plus years of trading, without a doubt the one that has cost me more money than any other has been the Commitment of Traders data. This simple information is exquisitely tempting in its promise, but all too frequently destructive in its reality. However, if properly used, this data occasionally can be of some value."
Good Luck
i have considered this point at bit more â i am guessing that the typical daily volume is comprised of (1) âbaseâ level of volume that routinely gets transacted by hedgers, institutional portfolio rebalancing, day traders (not just individuals but any day trading strategies etc.) and similar participants â this is the activity that takes places âin the ordinary course of businessâ so to speak and (2) there is a component which comes from directional/position players
when you see a surge in volume, the only logical place where it can come from is the second group above â since the non-directional, routine daily participants typically donât, for example, just double their activity one day and then cut it back in half the next day (unless itâs a holiday, end of quarter/month and other âspecialâ periods etc.) - of course what happens is that the typical daily participants âseeâ this increased volume and hence increase their activity as new price levels may require additional hedging, rebalancing, more trading strategies kick in with these new price levels etc. etc. â so an increase in volume has a snowballing effect in a way â but the initial phase of it, at least, must come from the directional/position players.
when you see a surge in volume, the only logical place where it can come from is the second group above â since the non-directional, routine daily participants typically donât, for example, just double their activity one day and then cut it back in half the next day (unless itâs a holiday, end of quarter/month and other âspecialâ periods etc.) - of course what happens is that the typical daily participants âseeâ this increased volume and hence increase their activity as new price levels may require additional hedging, rebalancing, more trading strategies kick in with these new price levels etc. etc. â so an increase in volume has a snowballing effect in a way â but the initial phase of it, at least, must come from the directional/position players.
Quote from nazzdack:
This might seem like "confirmation of the obvious" but daytraders are responsible for transacting ~80% of daily trading volume. The large speculative and commercial traders are responsible for the ~15% of daily trading volume that MOVES THE MARKET. When the market is moving, then you know that the big boys are doing big numbers. That's all.