----- Original Message ----- 
  
  
  Sent: Thursday, February 03, 2005 10:41 
  AM
  Subject: Re: [RT] PROGRAM TRADING
  
  Hello Charles
   
  My original  volume study  show that 
  just taking the up volume each day and deducting the down volume 
  (cumulative)  will show the overall trend in the market,
  later I refined it to only add volume to 
  cumulative if the close is above open  and  up volume is above down 
  volume,
  when trying to apply it to intra day trading, 
  i.e. nq or es, I find it leading by 10-15 min
  and had large dd  (4-6 points before making 
  4-6 points)
  to refine things
  I took  up volume/up issues minus  down 
  volume/down issues
  that did a MUCH  better job with less  
  dd and same good results
  
    ----- Original Message ----- 
    
    
    Sent: Wednesday, February 02, 2005 
    11:23 AM
    Subject: Re: [RT] PROGRAM TRADING
    
    Alex-
     
    Looks like you've thought about this issue 
    too?  Tks for your response.  Perhaps the best I can do is to 
    FORGET ABOUT
    making an issue of trying to use volume as an 
    indicator.  Wordon wrote a great paper (I no longer have a copy) about 
    why
    his tick volume made it's way onto 
    the rubbish heap of volume indicators; expecially as applied to the 
    overall market and
    indexes.  The service his sons run I think are still big on volume regards 
    individual stocks.   I don't do individual 
    stocks.
     
    BTW; does anyone know where I can run this by 
    Ben of RT fame?  I think volume is important in his decision 
    making.  
     
    Chas
    
      ----- Original Message ----- 
      
      
      Sent: Wednesday, February 02, 2005 
      9:58 AM
      Subject: RE: [RT] PROGRAM 
      TRADING
      
Pure volume has very little meaning for the reasons you 
      state.  In stocks it has been quite some time since you could get 
      genuine directional volume data.  It's worse in derivates where 
      probably two thirds of the trading is hedge relayed.  Some people try 
      to filter back to public only, but that data is rarely 
      realtime.
-----Original Message-----
From: Charles Meyer 
      [mailto:chaze@xxxxxxxx]
Sent: Wed 2/2/2005 9:55 AM
To: REAL 
      TRADERS
Subject: [RT] PROGRAM TRADING
 
Group-
I was 
      wondering if I can get some feedback on the subject of program trading; as 
      it relates to volume analysis.  I've been doing a lot of studying on 
      this subject and here's the issue.  In the old days; total volume of 
      shares traded was just that; insofaras it accounted for all the exchange 
      trading.  Today; end of day volume of shares traded on both the NYSE 
      and the NASDAQ is greatly influenced by program trading.  It is said 
      to account for about an estimated 50% of all volume.  Stated simply; 
      program trading greatly influences total volume.  Now; it seems to me 
      this has to greatly impact the INTERPRETATION OF VOLUME BASED INDICATORS; 
      because we are no longer seeing the pure forces of supply and demand as in 
      the days when program trading didn't exist? 
To further complicate 
      matters (if it is necessary to do so; but I am getting ahead of myself 
      here) of all program trading;
only 10% is the index arb variety where 
      stocks are sold; and futures are bought simultaneously; and vice 
      versa.  However;
there are OTHER and perhaps MORE IMPORTANT types 
      of program trading strategies which must impact the analysis
of supply 
      and demand vis a via volume based indicators?  If I may provide an 
      example.  Last Friday sell programs drove the Dow down about 
      50-points when sell price levels were hit and program trading came into 
      the market.  For DAYTRADING purposes this was valuable information 
      since one could have front run these orders on the short side.  
      However; on some days one would lose money and the correct strategy would 
      be to fade a sell program by buying into the market at those levels and 
      times. 
Daytrading impact aside; is there a way to modify volume 
      based indicators which would provide a clearer representation
of pure 
      supply/demand market generated information for the purposes of swing and 
      end of day trading?  If someone could
please share their 
      experiences and there are no answers to this dilema; it will at least save 
      me a lot of wasted time and energy trodding a worthless path.  
      
If you have been with me this far; thank you for your time and 
      attention; and any 
      feedback.
Chas
for by 
      program trading 
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