Volume Question

H

hanpep

Why are there not figures available for daily up/down volume for futures?

NYSE & CBOT

Begin:
1) Someone standing in pit gets an order to buy
2) Yells "Buy xxx of ZZZ at $YYY
3) Someone else yells "Sold xxx of ZZZ at $YYY
End Transaction:

That creates xxx Volume at NYSE but nothing when it happens at COT, why??

Hank
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That screenshot is fo the box chart (top portion of the chart). This is a zoomed out view of the buy and sell pressure (the darker the blue the more buying of the offer and the darker the red the more hitting of bids). The number on the bottom right in the green box represents how many more contracts traded on the bid (positive number as your graphic shows) or the offer (number would be negative). This number is trying to give you a sense of how many more contract trade as a result of aggressive buying (buyer paying the offer) or the aggressive selling (seller paying the bid). Let me know if this doesn't clear it up.. I will be happy to give you live demo of the software or speak over the phone.
 
Interesting but how do you get the raw data?

What do you think of my original analogy of the NYSE vs CBOT trades? Why can the stock exchange assign up and down volume to prices but the futures exchanges can't? Or do they just chose not to?

Looking at the graph that tracks volume it seems to almost mirror price data and not lead or lag. That's not much help or am I missing something?

I'll wait and see how your product develops. Good Luck.

Hank
 
Hank said:
Interesting but how do you get the raw data?
More...
We get the data through eSignal, DTNIQfeed or Trading Technologies X_Trader Pro.
Hank said:
What do you think of my original analogy of the NYSE vs CBOT trades? Why can the stock exchange assign up and down volume to prices but the futures exchanges can't? Or do they just chose not to?
More...
Here is my answer for the NYSE vs. the CBOT. With pit traded contracts, a trade occurs between two traders and is then carded up and punched (recorded) later on. It is impossible to tell with a pit full of traders yelling and screaming what is the true bid and the true offer and record the volume of each trade done on that bid or offer. With stocks, you always have a specialist or two in control. That is the largest difference. [Post Edit: RLB]
Hank said:
Looking at the graph that tracks volume it seems to almost mirror price data and not lead or lag. That's not much help or am I missing something?
More...
Yes, you are missing something somewhat. We have found that with the indexes, price and directional volume correlate very highly. However, this is not always the case, be it on a daily level or the intraday divergences. [Edit: RLB] These divergences are what you need to be aware of. Another way to look at is when price is rallying, you would like to see volume on the uptick (offer) increasing. This would indicate aggressive buyers entering the market and driving price up.[Edit: RLB] Sometimes volume will lead a breakout and other times it won't. [Edit: RLB]
 
Are you aware of the fact that you're spamming the site with a commercial product? All those banners you see are vendors who have paid to advertise.
 
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