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Eiger

Common Myths Concerning VSA

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YT, I'm more interested in the "36 hours" part...

 

Dark pools not enough :) To be honest I can't remember where I read the 36 hours thing. This is from the CME website:

 

Reporting of Volume & Open Interest

 

"Open interest figures are invariably reported by futures exchanges with a day’s delay. This means that you get “yesterday’s” open interest with “today’s” prices.

 

Volume figures also used to be reported with a day’s delay, but this situation has changed as open outcry trading has been steadily supplanted by electronic trading. Most exchanges now publish “same-day” volumes, although in most cases the figures are rounded estimates. Generally speaking, electronic-only exchanges report same-day volumes, whereas exchanges that still retain a trading floor provide volume estimates or report volume with a day’s delay."

 

This to me indicates that a big trader can delay the reporting of the volume of their transactions by placing orders in the pit. Whether this is delayed until after the close or what isn't clear. There are plenty of reasons to believe that reported contract volume intraday isn't accurate. I have found that I have had better results trading the tick volume in spot currencies and place trades in futures currencies than trade off of futures volume figures intraday.

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Dark pools not enough :) To be honest I can't remember where I read the 36 hours thing. This is from the CME website:

 

Reporting of Volume & Open Interest

 

"Open interest figures are invariably reported by futures exchanges with a day’s delay. This means that you get “yesterday’s” open interest with “today’s” prices.

 

Volume figures also used to be reported with a day’s delay, but this situation has changed as open outcry trading has been steadily supplanted by electronic trading. Most exchanges now publish “same-day” volumes, although in most cases the figures are rounded estimates. Generally speaking, electronic-only exchanges report same-day volumes, whereas exchanges that still retain a trading floor provide volume estimates or report volume with a day’s delay."

 

This to me indicates that a big trader can delay the reporting of the volume of their transactions by placing orders in the pit. Whether this is delayed until after the close or what isn't clear. There are plenty of reasons to believe that reported contract volume intraday isn't accurate. I have found that I have had better results trading the tick volume in spot currencies and place trades in futures currencies than trade off of futures volume figures intraday.

 

Well, open interest is not volume, so that's another matter.

 

The important thing is that you have results that you are happy with. My contention is simply that tick volume in the spot market cannot be measured against anything for accuracy, thus, it's naive to say that it's more accurate than something which can be measured. It has no way to be measured, therefore it cannot be said to be accurate, as there is no measuring stick. At least exchange volume is regulated.

 

I have no doubt that due to dark liquidity, there are ways to hide volume, but if that exists in a regulated environment, it must exist in an unregulated environment, probably to a much larger degree and scale. On the CME (and I'm sure most exchanges), block and private trades must be reported within five minutes, fifteen minutes, or an hour, depending on the product being traded, or a fine can be assessed. This is one way to hide immediate activity, but again, if that can happen in an exchange environment, I'm absolutely certain it is rampant in the largely unregulated world of forex.

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Some argue that the use of volume is pointless in the Forex trading. Howver there are others that swear by tic volume and use VSA (Volume spread analysis) in Forex.

 

I compared the readings by exporting the data from MT4 in a CSV format and I plotted the date with Rapid Miner (Well it was not necessary to do that we could use excel sheets too).

 

(under some conditions the meta trader indicators are not very good at representing peaks in volume)

 

Here I compared the tic volume in different Forex brokers:

 

-interbank fx

-alpari

-fxcm

-delta stock

 

If the number of tics varies the peaks in the tic volume is the same. Those tests were done several months ago the idea was to show that the tic volume among various forex brokers is highly correlated.

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