Is Vol. Really Important ?

Spyder,

That's a valid question. As I mentioned in my first post, I'm sidestepping a lot of stocks because their breakout out of range (or resistance) does not happen with a concomitant rise in volume (or a spike as some require). I've gone back a lot of times and looked to see what happened to these securities and more often than not, I see that they have ground higher or levitated higher (since conventional wisdom would say one needs volume to drive prices higher). They've done so with the same amount of volume, just sort of floated up, if you will.

I try to seek understanding. That is why I'm here asking these questions and spending so much energy and time. If I was like others, I would simply say, buy when MACD goes here or sell when RSI goes there, etc. I try to understand the why behind everything before I use it in trading.

As you know, Jack and many others use an oft repeated principle that goes along the lines of, If volume is rising and the trend is up, the trend will continue and mutatis mutandis for down trends. I'm here wondering why this is so, and why it may not be so.

As I've tried to explain, volume is simply a coming together of two people. An agreement on price and disagreeent on value. It has no other meaning. Whatever other meaning we give it, that meaning comes from us. It is not inherent in volume itself.

So to say that you need volume to act in a certain way for price to go up/down makes no sense because one is a measure of interest why one is a measure of valuation. And further to this theoretical framework, for each example you provide fitting your criteria, others can provide one where it is the opposite.

It may be a simple occurance of random positive reinforcement. By that I mean that we 'see' a pattern and give it meaning, we look for it again and giving it the same meaning, react to it in a certain way. I'm sure you know there've been a lot of interesting experiments where animals are given random positive feedback (food pellets or treats) and they start exhibiting the most convoluted and strange behaviours (dances, hops, etc.) because they believe that what they are doing is causing the positive feedback. They don't realize that the system is completely random and has nothing to do with their actions!

So, could it, maybe be the same when it comes to the conventional wisdom about volume?

I'm skimming through the word doc you provided and may post comments re it later.

btw thanks for the clear example. Much appreciated. :)


Quote from Spydertrader:

Clearly, many examples exist ( I mentioned HANS earlier and Babak has provided a few others) where it appears volume plays little or no role with respect to price changes. However, why focus on equities where the theory appears to fail?
More...
 
Translation of 2 Grob109 posts on this page...

http://www.elitetrader.com/vb/showthread.php?s=&threadid=54106&perpage=6&pagenumber=16


*******************

Using highly advanced programming techniques :D i built a - DeGrobinator - software that does the best it can at translating GrobSpeak...

<b>It applies 109 deconstructing and reconstructing variables to come up with the best translation possible...</b>

Also, anything in brackets was put their by the DeGrobinator software...

***********************

The first derivative of volume is volume velocity (transaction speed)?

Almost all understanding of things deals with time and size

The volume in a 5 minute bar appears at the end of the bar. The alternative is to look at the needle [VOLUME SPEEDOMETER] for volume as it accumulates to complete the bar.

So the technical term for the way volume is changing over time is its velocity or speed.

So you see volume velocity is an important measure of what is going on. It is a measure of how many transactions are going on as time passes.

Obviously that smooth normal sequence [A DULL MARKET] can be affected in many ways.

By knowing volume velocity's workings, you get to be able to deal adroitly with all the possible perturbations [Bid/Ask agitation or B/A volatility- DOM FLUCTUATIONS] that can occur.

Volume velocity is like the speedometer on your car. For gliding it is the meter (instrument that indicate your rate of climb (your vertical velocity).

It is the dissolving of the value of the potential volume of the controlling group. The place where it is found is DOM (Depth of Market), etc... floor noise, block sizes, downward speed of the T&S, etc.....and VOLUME VELOCITY.

Pro rata volume calculations continually are a very good idea.

So get an instrument for the first derivative of volume. [FIND A TOOL(S) THAT ACCURATELY MEASURE(S) TIME&SALES RATE CHANGES AND/OR B/ASK TRANSACTION RATE CHANGES & BID – ASK SIZE DISPARITY]

"At this time when new information arrives [NEWS EVENT, ETC.], it is observable as the how the information affects the size of the nearby groups. [BID SIZE RATIO TO ASK SIZE RATIO]

No one need track the new information per se.[NEWS IS NOT IMPORTANT ONLY THE EFFECT IT HAS ON THE BID/ASK RATIO AND T&SALES PRINTS] What is important to do is observe the size of the groups near the trading price. Long before the trading price changes it is very apparent that there is nothing that can stop the pending change coming up for the very reason that the smallest nearest group is dissolving to no size at all." [LARGE TRADERS PULLING THEIR OFFERS & LARGE BUYERS HITTING THE OFFER]

Just look at your screen where DOM is or where one line on your trading platform has the Bests.
There are four numbers, two prices and two volumes.

For a trend to rise, the asks have to dissolve. The smaller group of ask orders are being filled. The closest sellers (owners) who are "asking" have to dissolve for the price to rise. Understanding of this as a price consideration and learn that it is not a "value" consideration that is being dealt with.

We are discussing trading here and how the market is operating. Trading. Actions of the market. Not the opinions of the entity itself. Opinions do not count only orders count. [TIME & SALES PRINTS & BID / ASK ORDER DISPARITY]

We are looking at the other side of the trade. It does not matter that this sort of thing is going on the un-controlling side of the market. In fact, look at how high money velocity skill traders operate. Who is it that is filling the asks? Who makes the market move? Smart traders do.

At the same time more and more traders start getting anxious, lifting whatever the nearest offers are(chasing price), and hence the volume velocity picks up?

Traders to own simply meet the price of those in control. That is the smaller group is in control and in a rising trend it is the sellers who are eaten up by those who are willing to pay the price. I have tried to suggest that the current system of providing data really sucks because some of it is hidden from the purchasers of commercially available software.

So then, any suggestions how to filter for this type of activity on the ES, YM?

For trading EOD and so on it is all there as well. Go to the previously cited locations to get all the filters. They all are posted in various places. This is all a replay of years and years of posting.
Explanation of how to position trade for high velocity profit taking. For each and every step of getting into the ball game, volume plays an extremely important role.

cj...


:)

__________________
HAVE STOP - WILL TRADE

If You Have The Vision We Have The Code
 
Quote from illiquid:

Do you really believe that at each and every trade that crosses the tape that an equilibrium point between supply and demand is reached, however temporarily?
More...

Yes, that is what must happen. I don't think there is ever a way this can not be so if you're going to get a print.

If you believe otherwise, please explain the how and the why. I'm here to learn from others, as much as to share my own thoughts.
 
Quote from Babak:

Jack,
You condescendingly repeat that I'm wrong. Fine, I don't insist that I have the truth or brag about my experience, or the millions I've pulled out of the market, etc. Could you atleast move beyond this and explain why I'm wrong? I can respect those that disagree with me and offer another viewpoint. Its hard to do so when someone continues to say one is wrong but then offer no coherent reason why.
More...
Babak, my friend, why do you waste your time so?

http://www.elitetrader.com/vb/showthread.php?s=&postid=794653#post794653
 
Quote from Babak:

Lamont,

As I mentioned in my silly post about watermelons, financial markets are nothing like other markets (grocery store or painting auctions).
More...

Your original post had to do with questions about "volume" and its importance. I suggest that you will not understand volume nor its importance unless you understand the Law of Supply and Demand as it applies to the financial market as well as all other auction markets, yet your efforts so far have been focused on going to great lengths to defend your position.

If you believe that you already understand all of this so thoroughly and have no interest in entertaining any other point of view, what's the point of the thread? Bored on a long weekend?

Your examples are entirely irrelevant to the Law of Supply and Demand, which you have not yet presented any evidence of understanding. Therefore, I wish you good luck in the coming week, but this has become a waste of time.
 
Quote from tokyotrader:

=============================================

- I know this cannot be known until after we see which group

just look at your screen where dom is or where one line on your trading platform has the Bests. There are four numbers, two prices and two volumes.

- bids or offers size is dissolving) is dissolving to no size at all,

No not at all. Bids or offers are not being filled. For a trend to rise, the asks have to dissolve. Then the smaller group of ask orders are being filled. The closest sellers (owners) who are "asking" have to dissolve for the price to rise. How can you or babak not get to any understanding of this price consideration and learn that it is not a "value" consideration that is being dealt with. We are discussing trading here and how the market is operating. Trading. Actions of the market. Not the opinions of the entity itself. Opinions do not count only orders count.

============================================

Sorry, I meant to say only offer size is dissolving.

**************************************************

you mean that they are pulling their offers back(cancelling, amending to a new, more favorable price), right?

No not at all. We are looking at the other side of the trade. It does not matter that this sort of thing is going on on the uncontrolling side of the market. In fact, look at how high money velocity skill traders operate. Who is it that is filling the asks? It is definitely not what Babak is stuck on. Who makes the market move? Smart traders do. When I hit T what happens. I get filled immediately and take the ride.

The word for snow falling down hill was spoken of. WOW. Is this snow falling down hill?
**************************************************

I am confused here still. I am trying to understand your use of the word "dissolve." I can only picture two ways the ask can "dissolve," or to cause to disappear or vanish. This can occur by current owners cancelling their outstanding asks or amending them to more favorable asks, or it can occur when prospective buyers come in and lift the best offer. Which are you referring to?

--------------------------------------------------------------------------------
What you see is people takiing on trades with orders that get filled on the other side of the owners. In any trend owners are leaving and new money is COMING INTO THE MARKET TO OWN.

Traders to own simply meet the price of those in control. That is the smaller group is in control and in a rising trend it is the sellers who are eaten up by those who are willing to pay the price. I have tried to suggest that the current system of providing data really sucks because some of it is hidden from the purchasers of commercially available software. The Sidney market is a forerunner of things to come for example.
--------------------------------------------------------------------------------

Ok, so my timeframe is short-term(intraday). The trends that I see may just be noise to others trading on a longer time frame. Is your statement a blanket one covering all time frames?

The way you state the above seems to be what Babak is saying how every transaction has a buyer and a seller. In this case, owners are leaving(sellers) and new money(buyers) is coming into the market to own. But you differentiate by arguing the importance of how this occurs, Babak just assumes that since the transaction has a buyer and a seller, it cannot have any implications for what is happening?

!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!

You are right, Babak. As such, I have edited my post and removed my comments on intraday bid/ask analysis.
More...

Lets say that you and Babak know how all types of trading orders are used.

Lets agree that you both know how all tape reading stuff is available and how it is monitored.

Lets further state that you know how about a dozen or so of the most commone trading strategies are played out.

Lets say you want to make some money in the range of a few % a day on average by position trading equities in any of the major marketplaces.

What you see as historical data on what is going on is not as helpful as looking at what is going to be happening.

Babak's assumptions and views do not very closely relate to looking at a market for the purposes of making money.

You are typing consistently about two places on the sides of the market where what you considier is not important for making money.

I can esily understand your posting the wrong words to describe something incorrectly. Changing the word to the correct one is an easy thing to make sense of what you meant.

If you can possibly begin to couple the kinds of market orders that are transpiring and see how they affect the display of the depth of the market, you will then begin to takes your first steps to learning what is going on.

Grocery stores and art galleries do not have a complex of kinds of market orders. Trading has an array of tools for making trades called orders. Traders develop strategies around the various possible uses of these tools. To make money at high velocities a trader uses the right tools at the correct time.

So first of all it is clear that my assumptions above about both of you are obviously wrong it turns out so both of you have a lot of work to do.

In the meantime I now adjust my comments to you using a couple of examples that you are currently unaware of.

How does a new person come into the space of the market place to play?

I have only one, very unfair to others, way of making money. When I decide to buy I buy and find out he price later. Whose group did I dissolve some of? When do I do the deed?

1. I do it when I have determined that the price velocity is higher than any other stock I am monitoring. This is a late entry to just pick off the highest money velocity available. It is because I have just left a position where the money velocity is fading.

or

2. When I have cash and I am coming off the sidelines, go in just in time before the price begins to move. Here I am dissolving, once a gain shares that are held by the small group that is showing to be in control.

Do you see that I am not one of those you are labelling and posting about.

All those people you are chatting about are not players in the action at hand. they may be holding or on the sidelines with orders showing but they are not there with orders that are going to be traded any time soon. They are all looking for fills. Do you know what kind of trading orders those represent?

more...
 
remainder.....

All you talk about that has to do with cancelling orders is not making money for those people who are cancelling. Similarly those orders showing up are not presently making money for those who are placing them and watching their orders.

So there are three classifications of traders in the vicinity of the price: Front runners, same-side traders and opposite-side traders.

Two of the three clasifications accelerate the price impact on existing price.

Who do I as a front runner match up with?

What other classification am I opposite to make the match?

Do you ever see the volume of the front runners before they trade?

All of this is related to volume and how to make money knowing what you are given to look at.

You see the potential volume of the same-sidrs and the opposite-siders only. And you know what the result of the total operation of the system is in volume at all times. Three things and you are given two of them and you are givien the total of all three.

At any given time, the interaction of the three classifications is this: Front runners and same side traders accelerate the price by dissolving the opposite siders. All three classifications are using tools to place their orders. Two of them accelerate price movement and only the opposite siders new orders work against price movement by not letting the smaller group get smaller as fast as if they were not placing new orders.

For babak and others this is all muddled stuff from a muddled mind. And it is also gooblygook too. For your it is an econ theory lecture that has no proofs, etc.......

What is it for me and for high velocity position traders running money streams at optimum capital limits.? It is like riding a bicycle. I don'y not ask what is going on and what it means. I just ride my bike. My mind is developed and complete enough to handle what appears in the market.

I am stating to you to begin to look at the market where data appears and is changing. This changing scene is the one where money is made.

You must have a minimum of knowledge to be able to see things. Anyone can acquire that except those who are trapped in being right about a mistaken understanding.

Obviously you were thinking about the right facet and your vocabulary and glossary at this point is not stable and consistent enough to get the words straight.

there is a point in time when a person can also recognize the assortment and extent of the stradtegies that the players are eploying. It usually does not advance in complexity to more than four concurrent and differently weighted themes. This can give you some ideas. One of them is to cut to the chase. don't waste a lot of your time farting around in debate. There is no debate on making money. The only debate people who are wasting time get into is who is right.

For example, all four of the most prevalent strategies in use at a particular time are there succeeding and all are being practised by clever traders as well.

So now we are at the point where a lot of the data you are seeing is there for strategic reasons on the part of disparate strategists to make the market.

About three or four times every few years a topic like this (the above paragraph not Babak trap stuff) can come up in ET.

Trading turns out to not be like poker simply because everyone's cards are showing all the time to high velocity traders.

Are you ready to discuss what the effect is of prevalent strategies crossing paths under various volume and price conditions? Not yet, I guess.

By looking at the dissolving blocks of controling groups you get the best view of the three classifications of traders (FR's, SS's amd OS's). At any time who is dumping what blocks in and who is then pulling them back? In part or in whole? All of this can be used to "push" your trades. you think you may be dealing with this but unfortunately you do know much a bout the basics, even. This does not make you wrong. It makes you inexperienced and you have a major opportunity to become effective and efficient.

Learn to play the game Concentration it is not like grocery store or art gallery. In the game it is fair to take notes.....(like contract management systems...lol....)
 
People go through 8 stages of wasting their time, I use the word stages in its iterative not procedural meaning. Avoid the CW and you will see the witness of the review stages ie not a function of knowledge but yet not without it as algorithms have shown.

These stages are preset with two positive initial readings. Wasting time is itself not important, what you can count is not important. After all no one learns from paraphrasing the natural law processes (see above).

These stages follow:

1. Chair is not high enough, causing chain reaction in the stochastics of spine/muscle tissue which parlay onto the control mechanism in play. This may fal into a looping feedback causing chain reaction towards disequilibrium.

2. Template of original superimpossed back into the supercycle shows irrefutibe proofs of the rational time going forward, not backward. Since this was 'found' by Newton, but later proved by Einstein...lol

3. If one uses the substitute for rational reasoning, then arriving at the juncture of time, television and potential but not possible distractionable elements. What you may do is not what you thought you might be able to think to see to do.

4. At this point, the neural net finds itself reset to the parameter net found in first step. Checking the matrix of abailable choices, being walk, trees or the other biological inferences, the result as follows. Note, axis of symmetry is now shifted towards later rather than before.

5. First response now is back to the middle, if at all. The dial on the irriational skepticism goes further and further to the binomial set. The trigger, of course being the prequel to the choices considered after rain is set to appear potentially causing risk to be high.

6. Psychology involved sometimes is mind and senses. By itself this is teh oppisite of the occuring maximum allowable actions predetermined by slope of the entertainment factor.

7. Effectively and efficiently one arrives at the causation point for the primal choice given. That is, between snack, further continuation of the slope towards escalation or even rain subsiding and sun, the polar opposite arriving instead to replace, as it were the wetness.

8. Finally, the participation factor one must arrive scientifically, if at all. This is rather important, maybe most important factor, unless superceded by factor 1-4 previously mentioned by the TOS of the prorated VB. So it is clear then that WT (wasting time) is a factor in most if not any, decisions.

If not obious then you can not play the game of high velocity living. This fundamental error is causing the most mistakes in all streams of consciousness. Sad really, some insist on being low velocity living. I try to bring about positive effect improvement to give feedback saying, this is better.

It is bad that this thread can't land on the ground.



Quote from kut2k2:

Babak, my friend, why do you waste your time so?

http://www.elitetrader.com/vb/showthread.php?s=&postid=794653#post794653
More...
 
supply and demand ----

--- if a 1000 lot buy enters at market what is the effect?

--- if a 1000 lot sell enters at market what is the effect?

--- do the two actions have the same effect/movement of price?


------1578
------1293
------1462
------1241
------1137
201-------
343-------
298-------
874-------
1021------


the inequality of the pending demand has effects to the market as does the inequality of executing supply {1032 at market buy orders take place during the same minute that 347 at market sell orders take place}. The supply/demand inequalities seem to be what I focus on the most as i watch volume.
 
You must log in or register to reply here.
Back
Top