Relative volume in the pre-market
- Thread starter TTT
- Start date
I trade futures, not stocks. I use volume extensively, but not exclusively. Some things migrate.
As you already know, the suits don't really give a hoot about what the PJ's do.
RTH (regular trading hours) has a much different personality than other times. ALWAYS.
One thing you can do is calculate the volume/volatility percentile. Depending on when you actually trade, you might want 3 different sets. One for AH (after market closes, After Hours) until 5:30 am the next day, one from 5:30 to the actual market opening, and of course one for the RTH session. I live in Pacific time zone, so adjust accordingly. RTH here is 6:30am-1pm.
Obvious question... What's with 5:30am? That's when official reports are released. Also, If dealing with multinational dually listed issues, I think much of EU begins trading at 3am EST. That's true for FESX futures anyway.
Volume/volatility percentile can be calculated with Excel. The percentile function.
Youll need the volume data, and to add the volatility youll need H(high) and L(low) prices associated with each volume data. It's simple stuff. Add a column for subtracting H-L for each row. Volume and the calculated column are all thats needed
The questions you want to answer are... What is low, middle, and high volume. And what is the price movement/volatility (in ticks, pennys, points, whatever) that can be expected with such volume.
You should have overlap in volatility measurement among the sets. But the percentile rank will be different from set to set. This can impact your trade decision! Of course, but unfortunately, each stock will have it's own set(s) of data. There is not a one size fits all data sample.
An idea.
Good trades to ya.
Here's Volume/Volatility for ES I did just before rollover to September contract...
As you already know, the suits don't really give a hoot about what the PJ's do.
RTH (regular trading hours) has a much different personality than other times. ALWAYS.
One thing you can do is calculate the volume/volatility percentile. Depending on when you actually trade, you might want 3 different sets. One for AH (after market closes, After Hours) until 5:30 am the next day, one from 5:30 to the actual market opening, and of course one for the RTH session. I live in Pacific time zone, so adjust accordingly. RTH here is 6:30am-1pm.
Obvious question... What's with 5:30am? That's when official reports are released. Also, If dealing with multinational dually listed issues, I think much of EU begins trading at 3am EST. That's true for FESX futures anyway.
Volume/volatility percentile can be calculated with Excel. The percentile function.
Youll need the volume data, and to add the volatility youll need H(high) and L(low) prices associated with each volume data. It's simple stuff. Add a column for subtracting H-L for each row. Volume and the calculated column are all thats needed
The questions you want to answer are... What is low, middle, and high volume. And what is the price movement/volatility (in ticks, pennys, points, whatever) that can be expected with such volume.
You should have overlap in volatility measurement among the sets. But the percentile rank will be different from set to set. This can impact your trade decision! Of course, but unfortunately, each stock will have it's own set(s) of data. There is not a one size fits all data sample.
An idea.
Good trades to ya.
Here's Volume/Volatility for ES I did just before rollover to September contract...
Last edited:
TTT,
If you know the stock, it will be better to review the chart of past days to realize if it has iquidity.
I am new trying to do intraday trading. So far, I can not found a high liquidity in a pre market. So I have to come back to the historical information, and current news about the stock.
Unfortunately I could not find a pattern in the next hours, I mean sometimes if the price is high at the open it could lost momentum and at the end of the day it close lower than the open.
Sometimes thereis not a rebound or a cycle, it goes down all day or it goes up all day, with few peaks.
If you know the stock, it will be better to review the chart of past days to realize if it has iquidity.
I am new trying to do intraday trading. So far, I can not found a high liquidity in a pre market. So I have to come back to the historical information, and current news about the stock.
Unfortunately I could not find a pattern in the next hours, I mean sometimes if the price is high at the open it could lost momentum and at the end of the day it close lower than the open.
Sometimes thereis not a rebound or a cycle, it goes down all day or it goes up all day, with few peaks.
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