I wanted to put forth the opinion that futures volume at price is wildly over-rated as a technical indicator. There are two reasons for my thesis: 1. Somebody took the other side of the trade, and most importantly 2. regulated futures exchange volume at price is usually a very incomplete picture because simultaneously you have analog OTC cash and derivatives markets trading turnover that you have no clue about.
As a side pocket note, before I proceed further yes I have used the Market Delta Volume plug-in study for TT X-Trader in the past and yes I have in the past made extensive use of the Bloomberg terminal volume studies of which there are many.
Let me expand on #2 above. How many CL scalpers would shit their pants if they had a WebICE Swaps feed and could see the 2K, even 5K blocks that get traded within a cent or two of the last futures price print? During US trading hours, especially in the morning it is a common occurrence. There are also plenty of bilateral physical crude oil swaps being traded that don't financially clear LCH or CME.
Let's say you're scalping ZN. The last price print in the futures is 119-12.5. Again during US trading hours, especially in the morning there could be literally hundreds of millions of dollars of swaps in addition to the on-the-run and off-the-run cash Treasury markets trading concurrently with the futures.
And I think that similar things could be said for ES and dark pools or 6E and the cash markets - maybe to a lesser extent for the dark pools but it's still a factor.
To look at regulated futures exchange volume at price is in my opinion at least a limited view into what is being turned over at that valuation.
The only real use I have for regulated futures volume is to determine if a specific contract expiry is liquid enough to model and trade - and for this purpose all I require are the daily settlement sheets.
Having said all that, if you've been making money hand over fist for the past ten years using a volume study please keep right on doing what you're doing.
As a side pocket note, before I proceed further yes I have used the Market Delta Volume plug-in study for TT X-Trader in the past and yes I have in the past made extensive use of the Bloomberg terminal volume studies of which there are many.
Let me expand on #2 above. How many CL scalpers would shit their pants if they had a WebICE Swaps feed and could see the 2K, even 5K blocks that get traded within a cent or two of the last futures price print? During US trading hours, especially in the morning it is a common occurrence. There are also plenty of bilateral physical crude oil swaps being traded that don't financially clear LCH or CME.
Let's say you're scalping ZN. The last price print in the futures is 119-12.5. Again during US trading hours, especially in the morning there could be literally hundreds of millions of dollars of swaps in addition to the on-the-run and off-the-run cash Treasury markets trading concurrently with the futures.
And I think that similar things could be said for ES and dark pools or 6E and the cash markets - maybe to a lesser extent for the dark pools but it's still a factor.
To look at regulated futures exchange volume at price is in my opinion at least a limited view into what is being turned over at that valuation.
The only real use I have for regulated futures volume is to determine if a specific contract expiry is liquid enough to model and trade - and for this purpose all I require are the daily settlement sheets.
Having said all that, if you've been making money hand over fist for the past ten years using a volume study please keep right on doing what you're doing.