Wednesday, August 19, 2009

In Response to Trusting Market Moves: Why Relative Volume is Important

Let's start with my comment first and then the excellent post this AM from the ever astute and keenly insightful Dr. Brett Steenbarger:
Glad to read your emphasis on the importance of 'Relative Volume' in determining how trustworthy market moves really are.

It's the bedrock of much of our analysis at Trade-Ideas as you know. We express the concept as a ratio, placing the current accumulated volume up to any given point in the day over the historical average volume of the same period. A reading such as 1.5 means therefore that a particular issue is 50% above its normal volume. A reading of 7 means its trading 7x more than usual; and so on for readings of 0.6, etc.

Here was Brett's original post:


Anonymous said...

We have darkpools now so if a big instituition is buying will they show it on tape? and also the min current volume doesnt track darkpools volume as well right?

D TradeIdeas said...

Great observation. After discussing the topic with our Director of Trader Education, Jamie Hodge, I thought I would pass along what he told me:

"Correct, we do not track dark pool data.

Goldman has the biggest dark pool and it's a members only type game.

Dark pool prints may or may not show up on the regular time and sales.

In other words, there's not really a cost efficient method to track this data."

Your thoughts?

Satish said...
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Satish said... probably volume will be another indicator to be dropped out of charts then.

D TradeIdeas said...

Dear Satish,

Not necessarily -the dark pools do hit the tape but it is typically delayed slightly depending on when the pool crosses. When it hits the tape, the MIN CURRENT VOLUME filter will act accordingly.