Real time volume histogram

I remember a saying, "Gaps are all filled eventually". The context is for market opening price gap. I think that concept might apply for volume histogram. At 12noon, the gap at 1252 is filled somewhat. Now I just need more data to verify that theory.
 

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You are correct as the volume gaps get filled in a very high probability manner...they get filled in as the volume "distributes" in time.
 
Quote from 5Pillars:

You are correct as the volume gaps get filled in a very high probability manner...they get filled in as the volume "distributes" in time.
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To the OP, I suggest you pay very careful attention to time - especially in index futures.

I personally use a temporal component in my price/volume analysis based on the 30 minute bar. Remember that price discovery takes time - this is the basis behind option/derivative pricing.
 
Quote from Mike805:

To the OP, I suggest you pay very careful attention to time - especially in index futures.

I personally use a temporal component in my price/volume analysis based on the 30 minute bar. Remember that price discovery takes time - this is the basis behind option/derivative pricing.
More...


Yes very true....that is why I said they get filled in "in time"...not necessarily that same day or couple of days. I also analyze each 30 minute period from the open to see how each 30 minute bar was created. I think we are doing some of the same things. :)
 
here is what I am thinking:

Over a longer period of time, > 10 trading days (just a random guess), the distribution of the price/volume histogram should resemble a gaussian profile. Any deviation from that profile should get adjusted eventually.

This means I need to consider trading on a longer time frame. 1 to 15 minute is my goal now for my system. But the bottom line is a working strategy first.


Mike and Pillar
I will look into 30 minute histogram too. Now I simply don't have any intuition on how to use the profiles yet. I have been staring at the 5 and 15 minute histograms for sometime, but could not come up with a trading strategy.

Mike,
I assume your trading strategy is based on math pricing models? I only have some intuition for TA and candle stick movement pattern based trading strategy. Math model based strategy is very appealing to me, as I like quantitative analisys, but it might take me another year or so to develop that kind of sense. I have John Hull's book on my desk, but need to refresh my college math before I can understand anything.


Thank you both.

-h
 
excellent thread.

besides market delta and MP, i've been using chart-ex.com for daily, weekly, and monthly volume profiles on ES.
 
Quote from piggie:


Mike,
I assume your trading strategy is based on math pricing models? I only have some intuition for TA and candle stick movement pattern based trading strategy. Math model based strategy is very appealing to me, as I like quantitative analisys, but it might take me another year or so to develop that kind of sense. I have John Hull's book on my desk, but need to refresh my college math before I can understand anything.
More...

Yes and no. My trading strategy is relatively independent from my analysis. My trades for the most part tend to take place around the numbers associated with my analysis, however, my profit exit points are not rigid (my stop points are however). I should also say that my confidence in any model I derive is not ever 100% (nowhere near in fact) - simply put, what works one day will not work the next, I make the decision of when to apply what analysis. This is a key distinction that some may not agree with. It is my belief that models do not really provide any tangible strategy, they only provide pieces of information, a part of the picture so to speak. The rest comes from market feel/mood and personal psychology. Catalysts are a great example of what cannot be modeled. Look at Wednesday/Thursday for an example ~ these types of volume profiles are human induced, a mathematical basis doesn't really exist IMO.

Although I have MP at my disposal, I generally use experience and intuition to guide my trading decisions - I try not to rely on anything rigid or statistically significant in that respect. It may sound like I am contradicting myself here, I can understand how you may come to that conclusion - just understand that there are no absolutes in the market - it is much more dynamic than most would care to admit.
 
Quote from Mike805:



Although I have MP at my disposal, I generally use experience and intuition to guide my trading decisions - I try not to rely on anything rigid or statistically significant in that respect. It may sound like I am contradicting myself here, I can understand how you may come to that conclusion - just understand that there are no absolutes in the market -

it is much more dynamic than most would care to admit.
More...

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The guts of market profile are helpful;
use a variation of it, the underlying principals fortunately are older that me or MP
:cool:

Mike80;
Dont take this too personal, or nitpick,are you absolutely sure there are no absolutes in the market????

In a practical way, use enough close limit orders for entry in derivatives;
absolutely will have some unfilled, but use/prefer them anyway.

Plenty of absolutes to use;
open , high , low close,regular hours.Not that all data providers agree .LOL

Agree with you last statement on many changes ''more dynamic''
:cool:
 
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