VSA on FX - Tick volume a proxy for volume?

[WaveSurfer]

.....The concept derived from Wyckoff is very powerful and one of my main tools.....

Thanks tech.

This looks extremely interesting and best of all logical (can't argue with the laws of supply and demand). I just found the book "Master the Markets" in your other thread. Will be reading this one with great interest. And doing some research on Mr. Wyckoff.

Oh, how does this relate to forex? I see it is being used; but on tick volume - is this correct? What are your thoughts on this?

Cheers again mate

 

[tech/a]

Re: Volume: How can it be used in trading?

Thanks tech.

This looks extremely interesting and best of all logical (can't argue with the laws of supply and demand). I just found the book "Master the Markets" in your other thread. Will be reading this one with great interest. And doing some research on Mr. Wyckoff.

Oh, how does this relate to forex? I see it is being used; but on tick volume - is this correct? What are your thoughts on this?

Cheers again mate

Yes correct.From what Ive seen in some of their live trade webinars it works just as well.

Ive not traded Forex.

But traded the SPI for a couple of months.
Enjoyed it and did ok but dont have the time to trade short term intraday due to a group of people who want to work for me and another lot who want me to build things.

Look forward to trading some currency pairs. Should get the feed and watch the action for a few months to get a feel.

Video after Video here.
Just flick past Gavins Dronning.

http://www.youtube.com/results?search_query=Tradeguider+forex&search_type=&aq=f

 

[Trembling Hand]

Re: Volume: How can it be used in trading?

Yes correct.From what Ive seen in some of their live trade webinars it works just as well.

Tech I just don't see it working. No doubt Trader Guide will pimp anything to catch more customers.

I'll capture Volume on futs, ECNs and then compare it to tick volume but it just goes against all of the very principles that they talk about. Surely this shows how much they are first and foremost a company selling a product not a method.

FX tick vol will always be proportional to the range of the bar. True volume is not.

 

[tech/a]

Re: Volume: How can it be used in trading?

Tech I just don't see it working. No doubt Trader Guide will pimp anything to catch more customers.

I'll capture Volume on futs, ECNs and then compare it to tick volume but it just goes against all of the very principles that they talk about. Surely this shows how much they are first and foremost a company selling a product not a method.

FX tick vol will always be proportional to the range of the bar. True volume is not.

Yeh heard it argued many times.

Even heard Tom Williams say its not a problem---specifically forget their arguement.

All I can say is Ive watched Sebastian (Forget his last name and has a worse presentation than Gavin!) Trade many times live and with results which I thought were good enough to warrent further investigation.

I'll see if i cant find the explaination it was on an Video I have quite library.
If so i'll post it up.

here it is.
I havent watched it for a while will have another look.

http://www.youtube.com/watch?v=yHTanKQDDQo

 

[Trembling Hand]

Re: Volume: How can it be used in trading?

For whatever its worth . I have put together a comparison of AUDJYP Volume vs Ticks to see how well Tick data matches Volume. Each Bar is for a 10 min period from about 2:00 pm today. Have changed the data to % of max so they can be compared.

From this sample its not too bad. Some bars are 20% diff other pretty close. Interestingly while the volume was light and the market tight and range bound the ticks read higher than volume, as the volume increased in the second part and price started to trend up the ticks didn't increase as much.

May have a further look at a bigger time frame tomorrow. If anyone gives a toss?

 

[Timmy]

Re: Volume: How can it be used in trading?

If anyone gives a toss?

If anyone wants to use VSA-type work on FX they really need to give a toss.

I have a few concerns with this TH, mainly the non-centralised nature of the FX market, no one 'exchange', accounting for interbank volumes, etc. etc.

Obviously what you have done here is the tip of an iceberg in terms of the sort of research that would need to be done to make definitive statements about the tick/volume relationship, so it needs to be read in that context.

 

[WaveSurfer]

Re: Volume: How can it be used in trading?

For whatever its worth . I have put together a comparison of AUDJYP Volume vs Ticks to see how well Tick data matches Volume......

Interesting Trembling Hand (lol, awesome nick). Although it's not an exact match, it still appears to be somewhat relative.

What volume figures are you using there? Futures volume I presume?

I think Timmy brings a valid point to the table "non-centralised nature of the FX market, no one 'exchange', accounting for interbank volumes".

To me this would make relying on tick volume a little difficult (that little voice in your head repeating the above).

Nonetheless, Trembling's chart does appear to show some relativity. That has me intrigued and will definitely look into this a little further.

And what an awesome book tech. Looking past the TradeGuider plug, there's some great info in there. Cheers for that again mate. I'll be reading this one quite a few times.

I'll also be following this thread with great interest.

Cheers all

 

[Trembling Hand]

Re: Volume: How can it be used in trading?

No its ECN volume.

 

[WaveSurfer]

Re: Volume: How can it be used in trading?

No its ECN volume.

Ahhhh I see. I was wondering why my comparison to futures vol was so different. Haha.

 

[Trembling Hand]

Re: Volume: How can it be used in trading?

Shall I start another thread to carry on this Tick v Vol line? Got some good stuff from last nights trades but don't want to mess up this thread with my rantings.

 

[Timmy]

Re: Volume: How can it be used in trading?

Shall I start another thread to carry on this Tick v Vol line? Got some good stuff from last nights trades but don't want to mess up this thread with my rantings.

Both good ideas ... the new thread and splitting off your rantings (I shall join you on the new thread with some of my own too)

 

[WaveSurfer]

Re: Volume: How can it be used in trading?

Shall I start another thread to carry on this Tick v Vol line? Got some good stuff from last nights trades but don't want to mess up this thread with my rantings.

I will follow with keen interest if you do.

 

[Trembling Hand]

Re: Volume: How can it be used in trading?

Both good ideas ... the new thread and splitting off your rantings (I shall join you on the new thread with some of my own too)

I have posted what I see as the errors of using ticks on last nights fed announcement on my blog if anyone is interested.

http://tremblinghandtrader.typepad.com/trembling_hand_trader/2010/03/fx-tick-vs-true-volume.html

Whoever wants to kick the **** out of my idea can in a new thread if they so feel inclined.

 

[Timmy]

This is the new thread for discussing whether tick volume can be used as a proxy for trade volume. This thread has been split off from tech/a's thread Volume: How can it be used in trading?

 

[tech/a]

Looking at T/Hs chart comparison while it is different both appear to show the same thing.
One will show extreme volume and so will the other.
While one will depict better the software reads it very similar to each if they were seperate.

Like any analysis if your using something it only indicates---

Like Elliott I dont need to know the N'th degree wave count.
If its obvious I'll use it.

 

[Trembling Hand]

Looking at T/Hs chart comparison while it is different both appear to show the same thing.

Tech did you see the charts on my blog? I don't think they show the same at all. What I see is ticks expand and contract with spread while volume can yet does not necessarily do the same. Which, I thought was in part, what VSA is about? the hidden volume or lack there of.

 

[WaveSurfer]

LOL TH...

That is one nasty lookin' chart. I'm glad that I'm sound asleep in FOMC hysteria.

I can see both points of view however.

VSA appears to be quite versatile. It can be used to analyse the bigger picture (background as they say) and also bar-by-bar nitty gritty sort of stuff. (Please do correct me if I'm off-track).

TH brings up a valid point that the nitty gritty side can be very easily distorted and if you're using say a test/no supply or no demand type of bar to enter, you'd want to be pretty damn sure it is what it is.

Even your blog post TH still has a great deal of relativity to the volume vs ticks. Volume surely did decline rapidly, but so did the ticks to an extent.

So perhaps it could be useful for the broader view, and a bit iffy for the finer details.

And what about bucket shop versus ECN ticks? You'd surely want an ECN feed that has no middleman intervention. Bucket shops can (and I'm sure do) hide and simulate ticks/price movement.

I like that ECN volume you have there TH. Will have to get my backside moving and shift to IB.

 

[tech/a]

Tech did you see the charts on my blog?

No I'll shut up until I do.
Out tonight so could be a little while.

 

[Trembling Hand]

WaveSurfer I think you have made some good points. Zooming out the bigger picture holds true. Once you get down to the bar by bar action there can be a fair amount of variation.

The biggest one I would guess is the tight range bar will more than likely show small number of ticks where it may in fact trade large volume.

 

[Lone Wolf]

Ok, I'm going to display my ignorance here... What exactly is a tick? I know that a tick is the smallest amount by which price can change, but how is a tick actually created? I had just always thought that a tick comes in when an order is processed on the market and the price is adjusted accordingly. But if you look at a tick chart, a number of seconds can pass by with no new tick coming in. Considering that there are many thousands of traders out there constantly buying and selling, shouldn't we have multiple ticks per second?

Rather than the price moving on every trade, are the individual trades stored up somewhere until a certain number has been reached, then the result of those lumped trades passed onto the market?

What is it when a tick is flat? Transactions have been made on the market with a net result of no change?

Sorry for such a basic question, but this seemed as good a place as any. Before I consider the difference between tick and volume data I should probably know how a tick is processed. I googled, but all I could find was the standard "a tick is the smallest price movement".