@Sprout Ah, glad you are still around. My point/question is that off exchange transactions do not show during RTH. I believe Marc Fischer stopped looking at volume for this reason. If they do not show in a volume bar chart, how do you compare two time frames ? You don't know, what you don't know. (Thought you might like that)
That's a powerful one and certainty to be considered when expanding one ability to determine context at any given moment.
Your specific question is beyond my knowledge atm. If it's similar to what I experienced in equites, it was at the closing bell, I would notice these large blocks of trades. The only thing I could discern is that the next day an opening gap would be present. These opening gaps really messed with me until I started de-gapping day to day. If you are doing equities, Jack Hershey Position Vector Trading is solid. Channels for building wealth and Building Minds for building wealth are exceptional and in the ET archives.
In summary, (but by no means a replacement for going through the above material) One builds a universe of high-quality stocks by an initial sort of unusual volume. What we are looking for is the moment where there is disagreement in value which translates to DU (Dry up). Market participants are not participating, thus transactions are dropping. Well, the FI makes most of their money on fees and commissions so what has to happen before the market attracts new participants?
Price needs to change.
Sometimes this change comes from a calendar event or a new event.
Other times this change comes from a market maker who recognizing a large sell/buy order on the books drives price initially in the opposite direction to attract price conscious folk/algorithms. A characteristic of this is low volume. This is what comes before a shift in sentiment. Not always like in the case of those liquidating large positions during RTH where one can see the shift in dominant volume associated with the dominant price movement. The lots sizes are larger in this case. On smaller timeframes, this shows up as the minority gaining control by executing market orders in the opposite direction of the now exhausted trend. Lot's of limit orders are left hanging unexecuted at the turn in sentiment. This is observable with the DOM.
Turns are interesting in that there are three types.
Back to larger timescales, By having a 65day avg volume parameter, the unusual volume comes in the form of FRV.
Big money needs to hide it's activity otherwise all the frontrunners pile on and it costs more to build the position. However we can see First Rising Volume as an oh-so-subtle "rising of the tide".
There are other criteria in building a HQ universe but it seems like you have the equities you trade, you just want to refine the timing of your trades with insights from volume.
