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Volume Splitter

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bakrob99,

 

<= in the original code with LargeBlockFilter set to 49 is equivalent to your Example 1.

>= in the original code with LargeBlockFilter set to 50 is equivalent to your Example 2, but cleaner. E.g. what happens if some drops a trade larger than 9999? Your code would exclude that trade.

 

You should have called "IncludeSizeGT" just "minimumSize" and your "ExcludeSizeLT" just "maximumSize" which would make it much clearer what this variables actually mean. Or just leave the original code alone which works perfectly fine.

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bakrob99,

 

<= in the original code with LargeBlockFilter set to 49 is equivalent to your Example 1.

>= in the original code with LargeBlockFilter set to 50 is equivalent to your Example 2, but cleaner. E.g. what happens if some drops a trade larger than 9999? Your code would exclude that trade.

 

You should have called "IncludeSizeGT" just "minimumSize" and your "ExcludeSizeLT" just "maximumSize" which would make it much clearer what this variables actually mean. Or just leave the original code alone which works perfectly fine.

 

 

Well, make it 99999999 then or whatever value you want to represent taking all the trades into consideration. I personally have Never seen a transaction size of 9999 or larger.

 

The point is: you can change the settings to have ONLY the small lot trades, and you can change them to show ONLY the LARGE LOT trades. and you can change them to track ALL THE TRADES.

 

Have the 3 up on the chart accumulate throughout the day and then review them at the end to see if there is anything of value in them.

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I thought so too, but then I realized that it's actually might be better to be a market taker when you are a large directional trader since you have the ability to change a price. For example, let's say the best bid is 9 and best ask is 10. There are 200 contracts bid on 9 and 200 contracts offered on 10. The large trader wants to buy. The buyer has two options:

1) Place limit order on bid

2) Hit the ask with a market order

 

Let's go through both scenarios:

1) You join the bid. Now there need to be 400 contracts traded on the bid to fill your entire order. There are two problems with this:

a) You don't get your entire order filled because less than 400 contracts trade (which is bad).

b) You do get your entire order filled but the whole bid would have to be taken out unless another large trader joins after you on the bid. This means the price changes to bid 8, ask 9. Your got filled on 9 which would have been the same if you had waited for the price to change down and then hit the ask. But you took the risk of not getting executed by using that limit order.

 

2) You hit the offer and it's likely you take out the ask doing that. So the new price is now 11 bid, 11 ask. Your order was filled at 10. So you have effectively bought the bid of the new price. But your execution was guaranteed.

 

I think scenario 2 is more favorable if you are a large directiona trader since in fact you can take out an entire price with your market order. Another problem with limit order is that you might not want to show your entire size to avoid front runners, but if you don't you might not get filled. But even if you do get filled, you always want order flow to change immediately after you get filled. What I mean by that is you want your bid to get filled by sell market orders, but as soon as you get filled, you want to see buy market orders to make price go up and not put you in a losing position. If you use a market order instead, you get filled immediately. Yes, your order shows up on the time & sales. But you don't care. You're already in. If anything, it's a good thing that you order is visible on the tape because you are making other traders that watch indicators like those posted in this thread follow you, pushing price in the direction you want it to go.

 

Of course, as with everything in trading it's never not clear cut and it depends on your strategy, but I just wanted to point out that market orders do have advantages, especially if you are a big trader.

 

AgeKay, I agree with your reasoning and would like to add one more point. In general,when these large institutional players come to the market, in most cases they are not concerned with a tick. They want the orders filled quickly and effiently. These large players are not trading in the same time frame as most. The 500 contracts they just bought or sold can be a day, week or monthly position. The profit target could very well be a 20 to 50 point trade. The only time a tick may be of some importance is when the trade is a hedge and they need it filled quickly to protect the hedge price. Even in a situation like this, they cannot use a limit order and risk not getting filled. They have generally factored in a tick, two or three depending on the markets volatility and the size of the order.

 

BlowFish, I think your efforts on this indicator have been fantastic! I have used the second one you programed, simply because someone was kind enough to put it into an ELD form (I know you don't have TS). As I have said before, I have zero programing skills and can't find the time to learn. I do have a few questions about the one in ELD. If its put on a day time only chart, the info does not really show much until after 30 or 40 minutes. Do you (or anyone else) recommend leaving the length on 20 or can it be used in a shorter length? I tried it on a 24 hour but the volume difference is so great after the open that it still takes time to adjust. Any ideas? How did the volume splitter one differ from two? I know it's asking a lot but if anyone has the time to put the first one in to ELD form, it would be greatly appreciated. Thanks again Blowfish for some great work. :applaud::applaud:

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This should do what is required.

 

inputs:
Period(20),
MaxBlock(9999),
MinBlock(0),
UpColor(green),
DownColor(red);

variables:
MyVol(0),
Color(yellow),
SmoothedBA(0),
Length(squareroot(Period)),
Block(0),
intrabarpersist MyCurrentBar(0),
intrabarpersist VolumeAtBid(0),
intrabarpersist VolumeAtAsk(0),
intrabarpersist BAVolRatio(0),
intrabarpersist VolTmp(0);

if LastBarOnChart and BarStatus(1) <> 2 then begin
  	MyVol = Iff(BarType < 2, Ticks, Volume);
if CurrentBar > MyCurrentBar then begin
	VolumeAtBid = 0;
	VolumeAtAsk = 0;
	BAVolRatio = 0;
	VolTmp = 0;
	MyCurrentBar = CurrentBar;
end;
Block = Myvol - VolTmp;
if (Block >= MinBlock) and (Block <= MaxBlock) then
if InsideBid < InsideAsk then begin
	if Close <= InsideBid then
		VolumeAtBid = VolumeAtBid + Block
	else if Close >= InsideAsk then
		VolumeAtAsk = VolumeAtAsk + Block; 
	end;
if VolumeAtBid > 0 and VolumeAtAsk > 0 then	
	BAVolRatio = Log( VolumeAtAsk / VolumeAtBid );
VolTmp = MyVol ;
end ;
SmoothedBA = xaverage(xaverage(BAvolratio, Length), Length);
if SmoothedBA <= 0 then color = DownColor else color = UpColor;

plot1(SmoothedBA, "Pressure", color);
Plot2( 0, "ZeroLine" ) ;

 

Thank you BlowFish. This is your first copy of the volume splitter. It is on the top of page 10. Again because I don't know the language, what is the difference between this and vol spillter two? On the bottom of page 12 is that an improvement to Vol Splitter one? Thanks again for all your work. This may be the best indicator I have found to date.

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The original had a <=

 

I'm not sure what this does, but it makes it so that the indicator looks the same whether you keep the default value of 100 for "LargeBlockFilter" in Inputs, or whether you change it from 100 to 10. Maybe this change just disables the LargeBlockFilter?

 

 

Tasuki when I first introduced the 'fix' I mentioned as coded it was actually a small block filter. You should read a bit more carefully :) volume less than clock filter makes it small block filter. volume > than block filter makes it a large block filter.

 

Anyway thanks for the charts.

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To avoid confusion here is the code with a max block size and min block size rather than a filter. Much as bakrob said (I edited it just before I got to his post!!) It should work but I didn't compile it as the indicator is running live on my charts right now.

 


inputs: 
UpColor(darkgreen), 
DownColor(red), 
DeltaBar(1), 
MaxBlock(9999),
MinBlock(0),
ResetDeltaEachBar(0); 

variables: 
MyVol(0), 
color(yellow), 
intrabarpersist MyCurrentBar(0), 
intrabarpersist VolumeAtBid(0), 
intrabarpersist VolumeAtAsk(0), 
intrabarpersist BAVolRatio(0), 
intrabarpersist VolTmp(0), 
intrabarpersist Delta (0), 
intrabarpersist DeltaH (0), 
intrabarpersist DeltaL (0), 
intrabarpersist DeltaO (0); 

if LastBarOnChart then begin 
  	MyVol = Iff(BarType < 2, Ticks, Volume); 
if CurrentBar > MyCurrentBar then begin 
	VolumeAtBid = 0; 
	VolumeAtAsk = 0; 
	BAVolRatio = 0; 
	VolTmp = 0; 
	MyCurrentBar = CurrentBar; 
	if ResetDeltaEachbar = 1 then Delta =0;
	DeltaO = Delta; 
	DeltaH = Delta; 
	DeltaL = Delta; 
end; 
if (Block >= MinBlock) and (Block <= MaxBlock) then
	if Close <= InsideBid then
		Delta  = Delta - MyVol + VolTmp
	else if Close >= InsideAsk then 
		Delta = Delta + MyVol - VolTmp ;  
	VolTmp = MyVol ;
end; 
end ; 


DeltaH = maxlist(DeltaH, Delta); 
DeltaL = minlist(DeltaL, Delta); 


if Delta <= 0 then color = DownColor else color = UpColor; 

plot1(DeltaO, "DO"); 
Plot2(DeltaH, "DH"); 
Plot3(DeltaL, "DL"); 
plot4(Delta, "DC");	 

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Tasuki, AgeKey

 

 

 

Add as the very first input the following:

Desc("AddText"),

 

Then when you are setting the inputs say for Small Lot Sizes:

Change the Desc input to "Small Lots",

 

This will now display the text "Small Lots" on your subgraph indicator description line so you can easily know what you are tracking.

 

Great Idea too!!!

 

 

...

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Thank you BlowFish. This is your first copy of the volume splitter. It is on the top of page 10. Again because I don't know the language, what is the difference between this and vol spillter two? On the bottom of page 12 is that an improvement to Vol Splitter one? Thanks again for all your work. This may be the best indicator I have found to date.

 

Hi essentially the first is an oscillator. The second shows cumulative 'order flow' for the day.

 

Normally I would add comments at the top of the indicator. In my defence it started as a quick and dirty to prove the concept :) I will tidy them up and then post them both in the indicator section.

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the orderflow on a 1 minute fdax chart no filters being used

unbelievable to see how the "average" is shorting all the way a 50 point upmove

 

btw BlowFish your last skript which you didnt compile yet you havent declared the variable Block yet

 

thank you this is a very usefull indicator

 

80807568.th.png

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Blowfish,

The code in permalink #156 won't verify. When it gets to the word "Block" it says "word not recognized by Easylanguage." I tried adding 'Block (0),' to the Inputs, but that created another error further down. Not sure how to fix.

Thanks, Tasuki

p.s. oops, looks like the dutchman beat me to the punch! Oh well, I'll leave mine in.

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Tasuki when I first introduced the 'fix' I mentioned as coded it was actually a small block filter. You should read a bit more carefully :) volume less than clock filter makes it small block filter. volume > than block filter makes it a large block filter.

 

Anyway thanks for the charts.

 

Sorry for being so dense, Blowfish. I guess everyone but me understands what you're saying, but my problem is that there are two ways of thinking about the word "filter". Does the 'largeblockfilter' filter OUT large blocks, so all you see is small blocks, or does it filter out small blocks so that all you're seeing is the large blocks? It's a tricky semantic difference but crucial.

 

Thanks, and sorry for belaboring the point---I just want to make sure I've got it straight.

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Woops way to completely balls up :crap: I only changed a couple of lines and managed to get an additional end statement and undefined variable (block) as you guys pointed out. It's got to the stage where it needs a tidy up (as well as comments) but this should at least run

 


inputs: 
UpColor(darkgreen), 
DownColor(red), 
DeltaBar(1), 
MaxBlock(9999),
MinBlock(0),
ResetDeltaEachBar(0); 

variables: 
MyVol(0), 
Block(0),
color(yellow), 
intrabarpersist MyCurrentBar(0), 
intrabarpersist VolumeAtBid(0), 
intrabarpersist VolumeAtAsk(0), 
intrabarpersist BAVolRatio(0), 
intrabarpersist VolTmp(0), 
intrabarpersist Delta (0), 
intrabarpersist DeltaH (0), 
intrabarpersist DeltaL (0), 
intrabarpersist DeltaO (0); 

if LastBarOnChart then begin 
  	MyVol = Iff(BarType < 2, Ticks, Volume); 
if CurrentBar > MyCurrentBar then begin 
	VolumeAtBid = 0; 
	VolumeAtAsk = 0; 
	BAVolRatio = 0; 
	VolTmp = 0; 
	MyCurrentBar = CurrentBar; 
	if ResetDeltaEachbar = 1 then Delta =0;
	DeltaO = Delta; 
	DeltaH = Delta; 
	DeltaL = Delta; 
end; 
Block = Myvol - VolTmp;
if (Block >= MinBlock) and (Block <= MaxBlock) then
	if Close <= InsideBid then
		Delta  = Delta - MyVol + VolTmp
	else if Close >= InsideAsk then 
		Delta = Delta + MyVol - VolTmp ;  
	VolTmp = MyVol ;
end; 


DeltaH = maxlist(DeltaH, Delta); 
DeltaL = minlist(DeltaL, Delta); 


if Delta <= 0 then color = DownColor else color = UpColor; 

plot1(DeltaO, "DO"); 
Plot2(DeltaH, "DH"); 
Plot3(DeltaL, "DL"); 
plot4(Delta, "DC");	 

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Sorry for being so dense, Blowfish. I guess everyone but me understands what you're saying, but my problem is that there are two ways of thinking about the word "filter". Does the 'largeblockfilter' filter OUT large blocks, so all you see is small blocks, or does it filter out small blocks so that all you're seeing is the large blocks? It's a tricky semantic difference but crucial.

 

Thanks, and sorry for belaboring the point---I just want to make sure I've got it straight.

 

Your quite right....which is why it's probably better all round to think of a max order size and min order size and have both as a parameter.

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Be careful, "Delta" is a function in EL.

 

Actually, I think the function is "@Delta", at least according to TS help.

 

"Delta" is a reserved word in Optionstation, but I don't think it's a problem with EL code for indicators.

 

At least, it doesn't seem to be a problem--the indicator works just fine.

 

Trouble is, I still can't figure out how to use it in trading, but maybe I'll get the hang of it after I've looked at enough charts.

 

Hey, has anybody compared Blowfish's latest with the one from EOTProLive that started this whole thread? Are they the same, similar, totally different?

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@ is a skip character in EasyLanguage.

 

It is ignored during compilation.

 

 

Samuel Tennis put an @ in front of all the function names for easy identification.

 

The story goes that the Cruz brothers removed them without first discussing with Samuel.

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Questions on Inputs for Blowfish's latest and greatest:

 

1) when would you change the DeltaBar value from 1 to something else?

2) when would you change the ResetDeltaEachBar from 0 to something else?

 

Thanks, Tasuki

5aa70ed72845e_InputsVolSplitter4.png.35b8033a7de497d68530ca74c71c66d0.png

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ResetDeltaEachBar does just that .....It starts from zero each bar giving a histogram. You would increase the minimum block size if you wanted to look at large block trades so for ES you might have min 50 max 9999 for large traders. Or maybe min 25 max 49 for medium size.

 

I doubt it looks that much like the indicator in the original post as that is not what I based this on. I do believe they are based from the same core principles though.

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Blowfish et al,

See attached charts. They come from today's session, friday, May 22, in the morning.

I see a potential problem, or at least something I don't understand that might be important.

 

On both charts, the vertical dotted line represents the open (6:30 AM here in California). The blue indicator shows the big traders, 100-9999 contracts, and the yellow indicator shows the little traders, 1-5 contracts. The first chart is a volume chart, 7777 volume, and the second is a simple 5 minute chart. (the horizontal lines over price represent the Globex high and low--just ignore for this discussion).

 

Notice how different the blue indicator looks on the two different charts. Starting at the open, the volume chart shows a steady decline, whereas the 5 minute chart shows a steady rise. How can this be? Either the big traders are buying or they're not---how could their activities be represented differently, in fact oppositely, for the two charts? I forgot to add the 610 tick chart, but it shows the same pattern of decline that the 7777 volume chart does.

 

I'm guessing that this is some artifact of the way I've set up the charts, or the scaling or something, but it would sure be helpful to know what's going on here in order to make better use of this wonderful indicator.

 

Thanks, Tasuki

5aa70ed86dbf7_7777volume.thumb.png.8455769acbfe65fd2bdce044842fb166.png

5aa70ed87687b_5min.thumb.png.4d9a1e578b2af1860be30cbe2ff94a09.png

Edited by Tasuki

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Hello guys,

here is a solution for TradeStation with caching a data base. Closed and open code.

BidAskDelta

So it's possible to save all traded volume at bid and ask. Data base is realized with

EL Collections DLL.

 

-swisstrader

 

swisstrader,

Sounds interesting. How is this indicator or yours different/better than the one that's publicly disclosed on Traders Lab?

Thanks, Tasuki

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Hello All,

 

I am not a programmer, just a trader, so here are afew observations. Tasuki asks on May 19th, are the volume splitters developed here the similar or different than the one used by EOT? To me they look different. I was in their room on May 21st and their VS was very accurate as far as perdicting divigerences. I do not see that on the Volume Splitter 2 ELD posted in this thread. i am running the VS2 right next to the PZT BidAsk Pressure indicator and they look identical. I am also noticing something else unusual. I am running the PZT Bid ask Pressure on 2 different charts. One chart is the ESM09.D and the ESM09. Both charts are 2584 volume charts. The BidAsk Pressure indicator does not plot the same. I think the indicator is easier to read on the ESM09 verses the day chart only. I discovered this by accident. I am pulling for you programmers to figure this out!

 

Olive

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Hello All,

 

I am not a programmer, just a trader, so here are afew observations. Tasuki asks on May 19th, are the volume splitters developed here the similar or different than the one used by EOT? To me they look different. I was in their room on May 21st and their VS was very accurate as far as perdicting divigerences. I do not see that on the Volume Splitter 2 ELD posted in this thread. i am running the VS2 right next to the PZT BidAsk Pressure indicator and they look identical. I am also noticing something else unusual. I am running the PZT Bid ask Pressure on 2 different charts. One chart is the ESM09.D and the ESM09. Both charts are 2584 volume charts. The BidAsk Pressure indicator does not plot the same. I think the indicator is easier to read on the ESM09 verses the day chart only. I discovered this by accident. I am pulling for you programmers to figure this out!

 

Olive

 

Olive,

See attached charts. OK, so I'm not exactly comparing apples to apples here because my bid ask pressure is on a day only chart (just the way I pulled it up this morning) and my vol splitter is on a 24 hour session, but even so, I don't see any similarity in the patterns of the indicators at all. For clarity, the blue line in the vol spllitter is the large traders (100-9999 contracts) and the yellow line is the small traders (1-5 contracts).

My experience is that indicators on the the day-only and 24 hour ES do look different in the morning, but tend to merge by the afternoon (I'm showing 233 tick charts from near the end of the day).

Anyway, what I'd really like to do is to compare both of these indicators with the one from EOTProLive, but I haven't signed up with them yet. I've been watching the vol splitter today on several time/tick/volume frames, and I wouldn't have made money with it if I'd been trading live. Maybe I'm not seeing it right.

Tasuki

5aa70ed883872_bidaskpressure233tick.thumb.png.7e158dbcecd660ae9a2a19cd4127d1f4.png

5aa70ed88c4f5_volsplitter233tick.thumb.png.90326bb20532262abdfd8592a4bfb549.png

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Tasuki,

 

EOT used to allow anyone into their room as a guest on the last Friday of the month. Check out their website EOTPRO. to see if this is still true. They also have a free trial you can try, if you have never been in their trading room.

 

When I was comparing indicators, it was in the afternoon that they were different. Thats why I thought it was unusual. Try it out Tuesday, after the holiday.

 

They do have some nice indicators. I wish they would sell their indicators rather than lease. The one that identifies Trend or Chop would be nice to see someone program in Trades Laboratory. In my mind, it would be very easy since it appears to be based on price alone.

 

Would you mind telling me where you obtained the BidAskPressure02A?

 

Thanks

 

Olive

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swisstrader,

Sounds interesting. How is this indicator or yours different/better than the one that's publicly disclosed on Traders Lab?

Thanks, Tasuki

 

Tasuki,

I have realized a data base for Tradestation, because after a reset is all deleted.

With my indicator you recall the data base and the indicator works again.

This data base is neccesary because 'InsideBid' and 'InsideAsk' isn't cached in TS data feed.

 

-swisstrader

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The EU is preparing retaliatory tariffs on $28 billion worth of American goods—ranging from steel and aluminium to consumer products like dental floss and luxury jewellery.   Starting Wednesday, the US is expected to impose 25% tariffs on key EU exports, with Brussels ready to respond with its own 20% levies on nearly all remaining American imports.   UK Faces £22 Billion Economic Blow   In the UK, fresh research from KPMG revealed that the British economy could shrink by £21.6 billion by 2027 due to US-imposed tariffs. The analysis points to a 0.8% dip in economic output over the next two years, undermining Chancellor Rachel Reeves’ growth agenda. The report also warned of additional fiscal pressure that may lead to future tax increases and public spending cuts.   Wall Street Braces for Recession   Goldman Sachs revised its US recession probability to 45% within the next year, citing tighter financial conditions and rising policy uncertainty. This marks a sharp jump from the 35% risk estimated just last month—and more than double January’s 20% projection. J.P. Morgan issued a bleaker outlook, now forecasting a 60% chance of recession both in the US and globally.   Global Leaders Respond as Trade Tensions Deepen   The dramatic market sell-off was triggered by China’s sweeping retaliation to a new round of US tariffs, which included a 34% levy on all American imports. Beijing’s state-run People’s Daily released a defiant statement, asserting that China has the tools and resilience to withstand economic pressure from Washington. ‘We’ve built up experience after years of trade conflict and are prepared with a full arsenal of countermeasures,’ it stated.   Around the world, policymakers are responding to the growing threat of a trade-led economic slowdown. Japanese Prime Minister Shigeru Ishiba announced plans to appeal directly to Washington and push for tariff relief, following the US administration’s decision to impose a blanket 24% tariff on Japanese imports. He aims to visit the US soon to present Japan’s case as a fair trade partner.   In Taiwan, President Lai Ching-te said his administration would work closely with Washington to remove trade barriers and increase purchases of American goods in an effort to reduce the bilateral trade deficit. The island's defence ministry has also submitted a new list of US military procurements to highlight its strategic partnership.   Economists and strategists are warning of deeper economic consequences. Ronald Temple, chief market strategist at Lazard, said the scale and speed of these tariffs could result in far more severe damage than previously anticipated. ‘This isn’t just a bilateral conflict anymore — more countries are likely to respond in the coming weeks,’ he noted.   Analysts at Barclays cautioned that smaller Asian economies, such as Singapore and South Korea, may face challenges in negotiating with Washington and are already adjusting their economic growth forecasts downward in response to the unfolding trade crisis.           Oil Prices Sink on Demand Concerns   Crude oil continued its sharp slide on Monday, driven by recession fears and weakened global demand. Brent fell 3.9% to $63.04 a barrel, while WTI plunged over 4% to $59.49—both benchmarks marking weekly losses exceeding 10%. Analysts say inflationary pressures and slowing economic activity may drag demand down, even though energy imports were excluded from the latest round of tariffs.   Vandana Hari of Vanda Insights noted, ‘The market is struggling to find a bottom. Until there’s a clear signal from Trump that calms recession fears, crude prices will remain under pressure.’   OPEC+ Adds Further Pressure with Output Hike   Bearish sentiment intensified after OPEC+ announced it would boost production by 411,000 barrels per day in May, far surpassing the expected 135,000 bpd. The alliance called on overproducing nations to submit compensation plans by April 15. Analysts fear this surprise move could undo years of supply discipline and weigh further on already fragile oil markets.   Global political risks also flared over the weekend. Iran rejected US proposals for direct nuclear negotiations and warned of potential military action. Meanwhile, Russia claimed fresh territorial gains in Ukraine’s Sumy region and ramped up attacks on surrounding areas—further darkening the outlook for markets.   Always trade with strict risk management. Your capital is the single most important aspect of your trading business.   Please note that times displayed based on local time zone and are from time of writing this report.   Click HERE to access the full HFM Economic calendar.   Want to learn to trade and analyse the markets? Join our webinars and get analysis and trading ideas combined with better understanding of how markets work. Click HERE to register for FREE!   Click HERE to READ more Market news.   Andria Pichidi HFMarkets   Disclaimer: This material is provided as a general marketing communication for information purposes only and does not constitute an independent investment research. Nothing in this communication contains, or should be considered as containing, an investment advice or an investment recommendation or a solicitation for the purpose of buying or selling of any financial instrument. All information provided is gathered from reputable sources and any information containing an indication of past performance is not a guarantee or reliable indicator of future performance. Users acknowledge that any investment in Leveraged Products is characterized by a certain degree of uncertainty and that any investment of this nature involves a high level of risk for which the users are solely responsible and liable. We assume no liability for any loss arising from any investment made based on the information provided in this communication. This communication must not be reproduced or further distributed without our prior written permission.
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