Here is a trade I placed using only volume flow data for the trade idea.
The chart is denominated in units of 30,000 contracts; each bar does *not* represent time. I will discuss this further later today.
We see volume at bid exceeding volume at offer from the market open (bottom histogram).
At the 8:52 AM CT bar at ES 1066, I saw volume dry up on buying (blue arrow). I sold for a move back to VWAP and the recent bar lows at 1063.25. Downside volume expanded as we broke below VWAP--what I would expect on a range day--and I later covered at 1063 as we made new morning session lows.
I would have stopped the trade quickly had upside volume expanded at that 1066 area.
It's an example of a trade that integrates auction information at the day time frame with volume flow information within the bar. That's not to say that other data wouldn't have been helpful for the trade; just that a great deal of information can be gleaned from a proper synthesis of auction data across timeframes.
More on trading with volume flow can be found here.
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2 comments:
Interesting I shorted at 65.50 and am still working the position. Volume is building lower I believe we might still need to move lower to shut off the downside auction. Why exactly are you using the 30,000 contract volume chart?
Brett, I took a very similar trade today via a different analysis...
first I saw TICK unable to pop and weakening around 9:45ET, then confirmation of "risk off" among a number of asset classes, and then rel. strength in the defensive sectors as a final piece of evidence that got me to jump in short from ES 1064ish.
As a target I chose yesterday's intraday lows in the SPY, which got me out at 1060.
If I were trading larger size, I would have left some on for a try at S1 which, in hindsight, looks like it may have gotten filled, albeit by a hair.
I should be breaking my trades down like this all the time. I'm finally coming around to what Don Miller has been talking about in his webinars...reinforcement, reinforcement, reinforcement.
Have a good weekend Doc.
charleS
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