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Folks, Read below 8-)
Regards,<font
color=navy>
Vignesh Eswar<font
color=navy>
Trade Well. Trade Wise.
<span
>-----Original Message-----
From: Andrew Tomlinson
[mailto:andrew_tomlinson@xxxxxxxxxxx]
Sent<span
>: Monday, July 05, 2004 7:52 PM
To: equismetastock@xxxxxxxxxxxxxxx
Subject: RE: [EquisMetaStock
Group] Question on color coding price & volumn
<span
>
<span
>
Vignesh
There are a couple of issues.
Buys = Sells. If they don't then the exchange shut
down trading in the
security. The function of the market
maker is to adjust price until supply
meets<font
face="Courier New"> demand.
BUYS=SELLS. One of the
fundamental truths of the market. Issue is to ‘take a view’ or
‘estimate’ who is stronger. One intuitive way of doing this seems
to me that a buyer who hits the seller’s offer rate is carrying more
conviction of a immediate move up in prices as against
a buyer who puts a limit order and waits for a seller to hit his bid. <span
class=GramE>And vice versa. If there is a upwards surge in the market it
can only come on account of buyers taking all that is offered for a the length
of the move. An surge can never happen through limit
orders.
<span
>
Blocks are a complex issue - among other problems,
some of the biggest
blocks<font
face="Courier New"> change hands off-shore or in some other fashion
off-exchange, so the
numbers<font
face="Courier New"> don't necessarily appear in the exchange's volume numbers.<br
>
<span
>Very true.<font
size=2 color=navy face=Arial> Off market deals never show up in the traded volumes. But Securities
Exchange Bureau of India (SEBI, <font
size=2 color=navy face=Arial>India<font size=2
color=navy face=Arial>’s equivalent to the SEC) has a stipulation that off market
deals beyond a threshold value need to be reported. When that is done the
volumes are adjusted for the trade and there is a sudden surge in the volume
reading. But its unlikely that any market watcher is
able to actually spot and trade that move. This happened recently in the case
of ONGC and earlier in ICICI Bank. Also block deal numbers are not reported officially.
We do not get a daily number. This is just one more of the many limitations in market
data available to traders of the Indian market. Hats off to them to make such a
good go of it despite this!
<span
>
Volume indicators can still be useful, but be
aware of their limitations. In
many<font
face="Courier New"> ways price itself is the best volume indicator, as the
price is what
adjusts<font
face="Courier New"> if buying pressure is greater than selling pressure. <br
>
<span
>True. But a ‘trend’
in volumes traded that are not in consonance with the price movement (as
against sudden spikes with little follow through on the next few days) act as
more reliable indicators that say a divergence in an oscillator. After price, I
put most of my faith in volumes. Which is why I tend to lean heavily on Elliot
wave analysis (which only looks back at the volume panel in the passing 8-)) for
studying currency crosses and bullion spot as we don’t get volume data
for these at all!!
<span
>
<span
>Dush<font
size=2 color=navy face=Arial>, My data vendor is spider software <font
size=2 color=navy face=Arial>India<font
size=2 color=navy face=Arial>. I use their intraday trading package called IRIS for NSE feeds. They
also iffer BSe feeds. I recommend
it strongly to those who are looking to chart Indian markets live. Use my
reference if you are interested.
<span
>
<span
><a
href="">http://www.spidersoftwareindia.com<span
>
<span
>
<span
>
<span
>Thanks guys. It gives me
great pleasure to be in a position to give back something (even if it’s a
point of view!) to some of the most clued on people on this group, <span
class=SpellE>dush, Larsen, lionel, super <span
class=SpellE>frag and you, ofcourse!
<span
>
<span
>
<span
>Andrew<font size=2
face="Courier New">
-----Original Message-----
From: Vignesh Eswar
[mailto:vignesh@xxxxxxxxxxxxxxx]
Sent: <font
size=2 face="Courier New">Friday, July 02, 2004<font
size=2 face="Courier New"> <st1:time
Hour="2" Minute="18"><span
>2:18 AM<font size=2
face="Courier New">
To: equismetastock@xxxxxxxxxxxxxxx
Subject: RE: [EquisMetaStock Group] Question on
color coding price & volumn
Andrew/ Dusant,
from<font
face="Courier New"> a layman's point of view it seems pretty simple. If the
data provider
gives out every trade as a price and volume at a
time, than all that needs
to be done is to flag each trade as a hit on a bid
or offer. Then cumulating
them becomes a simple matter. The rest follows.
Catching Block trades is
just a simple matter of running a filter which
flags trades with tick volume
greater than whatever limit u set. I use a
proprietary live feed.which is
net based..but they provide data only for the
Indian markets .so I wonder if
you would be interested. Dusant ?
Regards,
Vignesh Eswar
Trade Well. Trade Wise.
-----Original Message-----
From: Andrew Tomlinson [mailto:andrew_tomlinson@xxxxxxxxxxx]
Sent: Thursday, July 01, 2004 9:25 AM
To: equismetastock@xxxxxxxxxxxxxxx
Subject: RE: [EquisMetaStock Group] Question on
color coding price & volumn
Sounds great Vignesh. I guess the question is,
whether the data provider can
distinguish bids and offers from end customers vs.
market makers and can
include block trades. What data have you
used and are you satisfied on
these points?
Andrew
-----Original Message-----
From: Dusant [mailto:dusant@xxxxxxxxxxxxxxxxxx]
Sent: Wednesday, June 30, 2004 11:10 PM
To: equismetastock@xxxxxxxxxxxxxxx
Subject: Re: [EquisMetaStock Group] Question on
color coding price & volumn
Great idea, Vignesh.
Provided the data vendor supports the
bid/ask/volume data. Dusant Chief
Architect http://www.candlestrength.com/
----- Original
Message -----
From: Vignesh Eswar
<mailto:vignesh@xxxxxxxxxxxxxxx>
To:
equismetastock@xxxxxxxxxxxxxxx
Sent: Wednesday,
June 30, 2004 4:53 PM
Subject: RE:
[EquisMetaStock Group] Question on color coding price &
volumn
Mr. Tomlinson /
superfragilistic,
There is one
logical way to separate the buying volume from the
selling volume. We assume that if the offer
is taken then it constitutes a
buy and if the bid is given then it constitutes a
sell. There is a counter
running that cumulates the volumes on the bid and
on the offer. One usually
gets a very good indication of what the dominant
pressure is and where there
is a pressure shift by plotting the difference of
these two running totals.
This is also great for picking up accumulation and
distribution days when a
divergence occurs. Price goes up on net negative
volume (volume at bids are
greater) on a distribution day and vice versa.
Obviously this works only on
intraday data with tick volume. My two bits for
what its worth. Hope it
helps.
Best Regards,
Vignesh Eswar
-----Original
Message-----
From: Andrew
Tomlinson [mailto:andrew_tomlinson@xxxxxxxxxxx]
Sent: Thursday,
June 17, 2004 1:57 AM
To:
equismetastock@xxxxxxxxxxxxxxx
Subject: RE:
[EquisMetaStock Group] Question on color coding price &
volumn
Superfragalist
No offense taken,
particularly as I have only just understood the
point you
are trying to make
(my slowness, not yours). Actually I'm still a
little
confused - as there
is a buyer and a seller to every trade, how can
you
separate out the volume
associated with buys from that associated with
sells? The only
thing close that I can think of are the indicators
that try
to allocate volume
according to the nature of the price move, like
Chaiken
Money Flow, or
which track the size of trades on up or down ticks,
like
Birinyi's Money
Flow Index, so as to try to take a guess at separating
customer from
dealer volume. What am I missing?
Andrew
-----Original
Message-----
From: superfragalist
[mailto:no_reply@xxxxxxxxxxxxxxx]
Sent: Wednesday,
June 16, 2004 12:04 PM
To:
equismetastock@xxxxxxxxxxxxxxx
Subject: Re:
[EquisMetaStock Group] Question on color coding price &
volumn
Andrew
I don't mean to be
obstinate. I understand from your post you're
using this as a
visual aid. However, it's a misleading visual aid
that most of the
newbie's aren't going to understand. They are going
to think that they
are looking at a volume bar that is totally made
up of the volume
that was up or down. The formula is passed around
without an
explanation as if it's a way around something that should
have been done in
MS to begin with.
You may be able to
keep the meaning of this visual aid straight in
your mind, but most
people can't. They see those red bars and those
green bars and they
think down or up, not total volume with some of
the volume up and
some down.
The only volume
that is given in MS is total volume. That needs to be
made clear to
newbie's. There's no way around using total volume and
total volume is not
up or down volume, it is both added together.
In the example I
gave regarding the NYSE, you'll find many days where
the up volume is
higher than the down volume but the price of a
tracking stock like
the SPY (closet thing we have to a tracking
stock- -you
could use the
index) still declined.
There are services
that provide up and down volume for each symbol,
but you have to use
an additional program running with MS, which
means you can't
incorporate the numbers into MS for analysis, unless
you export them to
excel and import then into MS daily.
--- In
equismetastock@xxxxxxxxxxxxxxx, "Andrew Tomlinson"
<andrew_tomlinson@xxxx> wrote:
>
> Guys
>
> As I
understood the enquiry, and as I use this color-coded volume
indicator,
> the intent is
simply to provide an easier visual appreciation of
whether the
> periodic price
movement is supported by volume. In particular, was a
> particular day
an accumulation day (higher price on heavier
volume)
or a
> distribution
day (lower price on heavier volume). This is how
Investor's
> Business Daily
presents its charts in the newspaper and on its
website, for
> example.
>
> No new
information is provided. It's just a visual aid. The height
of the
> histogram bars
still give you periodic volume. We're just coloring
the bars
> to include
some price information.
>
> I use the
following for a distribution day:
>
>
If(C<Ref(C,-1) AND V>Ref(V,-1),V,0), which I color as a thicker red
> histogram bar.
>
> You could make
it more discriminating by referring to average
volume rather
> than
yesterday's figure. Also if you want to do this for the indices
> (NASDAQ,
S&P500) you have to use the security function for the price
> reference, or
use the appropriate ETF as a proxy.
>
> Andrew
>
> -----Original
Message-----
> From:
praktikus_ms [mailto:praktikus@xxxx]
> Sent:
Wednesday, June 16, 2004 4:20 AM
> To:
equismetastock@xxxxxxxxxxxxxxx
> Subject: Re:
[EquisMetaStock Group] Question on color coding price
& volumn
>
>
> Andrew,
>
> If you look at
up and down days (what is related to prices) and you
> are coloring
volumebars according to this up and down days, the
> source of the
colored bars is related to the price action and not
to
> the volume. If
our data supliers would provide more than just plain
> volume,
perhaps something like volume ticking up/down we would have
> another source
for color coding by volume. By now coloring volume
not
> related to
price action is limited to comparing it to the volume
info
> as a whole.
>
> Martin
>
>
>
> --- In
equismetastock@xxxxxxxxxxxxxxx, "Andrew Tomlinson"
>
<andrew_tomlinson@xxxx> wrote:
> >
"That formula is simply price dependent volume which means if the
> > price
goes up that bar, it is assumed the volume must be
positive.
> > That
relationship is ify at best. So all your getting is your
price
> > line (c)
repeated in colored bars."
> >
> > Actually,
no. The formula gives you a volume histogram, colored
> according to
> > whether
the price is up or down. It gives you volume, not price.
>
>
>
>
>
>
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