The ASF Futures Playbook - A collection of plays to develop on your own

[Trembling Hand]

Canoz just wondering how you market/ volume profile guys deal with the huge volume on futures rollovers , trying to explore this tool and wondering if it useful at all around contract rollovers

What is that data? If that is daily it looks wrong. Should be around 20,000 to 30,000 on a normal day.

 

[Trembling Hand]

Ok I see its hour or something? But still you have to be careful who's data you use. IB for example is rubbish and treat a rollover as a trade and included it. Most decent data vendors don't include it. Esignals CQG etc.

 

[Quant]

Ok I see its hour or something? But still you have to be careful who's data you use. IB for example is rubbish and treat a rollover as a trade and included it. Most decent data vendors don't include it. Esignals CQG etc.

OK thanks for that , obviously i will ignore rollover on what im getting , intraday over couple days no big deal but big picture its distorting what im looking at

My daily volumes look about right

 

[kid hustlr]

By no means an expert but several of the guys i follow on twitter who use MP / VP almost exclusively have made the point that during rollover their edge is lower

 

[CanOz]

Hi quant, hope all is well ! I use continuous back adjusted contracts, merged. So the volume at rollover is captured in the composite and then in the individual daily profiles as well. There is a slight difference in the volume around rollover but it's all relative in terms of the key reference levels anyway.

 

[grah33]

It's great seeing how people are trading their futures. Just wondering if there is a name for these kinds of technical analyses methods that people are using to trade futures, or a book they got it from?

Maybe price action stuff (such as in the babypips course for forex ) can also be used, although it doesn't incorporate volume in the analyses.