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> Listmembers,
> In the latest Omega zine in the "ask the experts" department a
> questioner was asking how he considered intra-day volume a strong
> indicator of buy/sell opportunities and why weren't they available for
> futures.The answer contained the following quote." Actual volume is not
> transmitted because the exchanges want their floor members to keep their
> advantage over upstairs traders".
I have a couple of random thoughts on this subject:
1) The exchange "members" are the owners of the exchange. It's simply
makes no sense for them to create a situation which would discourage
order flow into the market. Therefore the above so called "expert" does
not appear to be credible on this subject.
2) Futures markets are by definition a "Risk Transfer" mechanism, so you
have to think of volume differently than you would in a equity market.
Example 1: The heavy volume days are going to be the days with heavy
spreading. So if you are interested in Dec volume, and it is all being
spread to Mar you would have to treat that differently than actual
outright volume.
Example 2: Lock limit days, huge move and light volume.
Example 3: If the futures volume is a hedge, you would end up reading
the volume backwards from a outright new position.
So without understanding what is occuring in the underlying market I
would think it would be hard to build a system based on real time
futures volume.
3) From what I can observe, it is the off floor institutions which try
to hide the size.
4) Markets tend to gravitate towards the large resting orders. The only
situation I can think of where the locals have a edge based on reading
the volume, is when they all sell into a big buy order, no other selling
hits the pit, and you look around and realize that everyone is caught
short and you better start taking some quick action to minimize the
hurt.
> I was wondering if anyone thinks this might change someday and is this
> the normal operating procedure for other exchanges globally? Rgds,Harry
There is about a 30 min lag from when the trade is executed until when
it clears. Once it clears the info is available. Some exchanges may even
make this available (I think the CBT does, isn't that what vol market
profile is?) but the data vendors do not carry it. If you think about
it, it would take a couple more data feeds to actually get the info out.
Bottom line is this: If there was a market demand for the info, they can
put it out. For the above convoluted reasons I stated there is no reason
to :-)
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