----- 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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