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  • #361
  • Apr 24, 2020 12:42am Apr 24, 2020 12:42am
Quoting DonPato
OK...lets review: "The Market" is simply a computer that matches orders, buys with sells, aggressive with passive when two parties agree upon a price to transact. For everyone that wishes to interact with "the market" you must do so by placing orders via a broker or a bank No order will be accepted until it has BOTH a price and size (volume) There are literally thousands of orders coming into the market every second of every minute during the session of any given market This "flow" of orders and their respective volumes are matched together and...

I'm trying to make sense of order flow. I was able to capture two images of the AUD/USD pair 1 second apart. It moved +0.3pips.

From what you've stated is my understanding correct based on the pictures. I've attached img1 and img 2 to this post.

IMG 1: ORDERBOOK Shows
ASK = 0.63467 / 10 Lot Size
BID = 0.63464 / 17.5 Lot Size

IMG 2: ORDERBOOK SHOWS (literally 1 second after the first picture)
ASK = 0.63470 / 10 Lot Size
BID = 0.63467 / 17.5 Lot Size

Someone has created an aggressive buy market order of 10 lots at 0.63467, or multiple people that have placed market orders at 0.63467. This has then used up the liquidity at 0.63467. The liquidity was used up and there is now a surplus of BIDS (limit buy orders). Due to this surplus, because of the supply and demand principle, there is more demand meaning that the price has now moved up to 0.63470. What I don't understand is why did it move up to 0.6347 instead of just another +0.1 pip.
Attached Image(s) (click to enlarge)
Click to Enlarge Name: audorderbookimg1.jpg Size: 213 KB
Click to Enlarge Name: audorderbookimg2.jpg Size: 232 KB
  • #362
  • Apr 24, 2020 6:14am Apr 24, 2020 6:14am
Quoting DonPato
{quote} Absolutely...send me a on and we'll make contact from there
Hello
DonPato I would like to ask about the same thing. I will send you a PM.
  • #363
  • Apr 24, 2020 3:35pm Apr 24, 2020 3:35pm
Quoting 1r0h
...What I don't understand is why did it move up to 0.6347 instead of just another +0.1 pip. {image} {image}
From your pictures it appears there was some liquidity between 0.63467 and 0.63470...which I see was a total of 40 lots (10+5+25). What you didn't mention was if this was a single tick or several ticks. But the result was the same. that 40 lots (40 x $1000,000) is literally 4 million dollars in liquidity that was used up. So once this 4 million was gone, price ticked to the next level where there was liquidity and that is the level 0.63470 where you see there is another 10 lots of liquidity available. So I can only assume that one (or several persons) placed market order that used up the 40 lots of liquidity and caused the price to tick to the next level where liquidity was available to satisfy all pending market orders.

Of note in your second picture is this: the level 471 has NO LIQUIDITY quoted. and the very next level 472 has 44.96 lots quoted. So if another buyer (or group of buyers) eat up this 10 lots at 470, the next quote will be 472, NOT 471.

As you noted in your screen shots only a few seconds passed during this time. That is how a liquid market moves...quickly and efficiently and why I always refer to it as a dynamic "flow" of orders...some of those orders are liquidity orders...some are market. They all combine together to produce these price movements.
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  • #364
  • Apr 24, 2020 3:36pm Apr 24, 2020 3:36pm
Quoting FX2Life
{quote} Hello DonPato I would like to ask about the same thing. I will send you a PM.
Yes I answered you PM...hope all is well.
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  • #365
  • Jul 13, 2020 3:27am Jul 13, 2020 3:27am
Dear traders,

as I read this thread about volume as well as the shared resources in FX market.

I just want to confirm my understanding about the FX market:

not only the volume we see on MT4/5 are tick count but also it is only the tick count of the particular broker we are with and has no information about hundreds of other brokers across the world.

am I right?

Thanks!
  • #366
  • Jul 13, 2020 3:35am Jul 13, 2020 3:35am
interesting thread.. i have a noob question.. what is exactly volume? does volume tells that its buy volume or sell volume or volume means both buy and sell contracts?
  • #367
  • Jul 13, 2020 3:42am Jul 13, 2020 3:42am
Quoting TraderJaya89
interesting thread.. i have a noob question.. what is exactly volume? does volume tells that its buy volume or sell volume or volume means both buy and sell contracts?
This is my noob answer:
Volume means both buy and sell contracts.
-It is a buy for Market Maker
-It is a sell for Market Taker
Dangdut is a music of my country
  • #368
  • Jul 13, 2020 5:18am Jul 13, 2020 5:18am
Quoting loopd
Dear traders, as I read this thread about volume as well as the shared resources in FX market. I just want to confirm my understanding about the FX market: not only the volume we see on MT4/5 are tick count but also it is only the tick count of the particular broker we are with and has no information about hundreds of other brokers across the world. am I right? Thanks!
In Forex, the tick volume is 95% of the real volume, there has been a study around for years to confirm that (you can google it).
  • #369
  • Jul 13, 2020 1:18pm Jul 13, 2020 1:18pm
Quoting mades
{quote} In Forex, the tick volume is 95% of the real volume, there has been a study around for years to confirm that (you can google it).

Thanks for the answer, can I understand this way if a volume spike for broker A at 10am then it is highly likely that with all other broker in the same time, same spike occur?
  • #370
  • Jul 13, 2020 2:23pm Jul 13, 2020 2:23pm
Quoting mades
{quote} In Forex, the tick volume is 95% of the real volume, there has been a study around for years to confirm that (you can google it).
Hi,
May I ask:
Who (MIT/Harvard??) made this study, what was the the exact measuring point of volume and how long was this study in time?
Is there any reliable source except stockmarket data?
I guess no.

regards
Guido
Risiko birgt immer auch die Chance.
  • #371
  • Jul 13, 2020 2:46pm Jul 13, 2020 2:46pm
Quoting sesamstrasse
{quote} hi, may i ask: Who (mit/harvard??) made this study, what was the the exact measuring point of volume and how long was this study in time? Is there any reliable source except stockmarket data? I guess no. Regards guido


caspar marney

price updates as proxy for fx traded volumes
  • #372
  • Jul 14, 2020 8:28am Jul 14, 2020 8:28am
new too the forum made this heatmap based of orderflow what do you think
Attached Image (click to enlarge)
Click to Enlarge Name: TSLA-5-minutes.png Size: 51 KB
  • #373
  • Jul 14, 2020 1:33pm Jul 14, 2020 1:33pm
Quoting yes100
new too the forum made this heatmap based of orderflow what do you think {image}
These is perhaps the WORST idea I have seen on this thread and it is clear you haven't read or absorbed any thing I am trying to put forth. Indicators and cute little lines will NOT help you. you must learn to read and interpret the ORDER FLOW not invent some new "gee whiz look at that" indicator. Please in future take your software development to another thread...or better yet start a thread of your own based on the "wisdom" you have gleaned. This is a "rookie indicator free" zone.
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  • #374
  • Jul 14, 2020 1:38pm Jul 14, 2020 1:38pm
Quoting yes100
new too the forum made this heatmap based of orderflow what do you think {image}
whats the meaning anyway
  • #375
  • Jul 14, 2020 3:18pm Jul 14, 2020 3:18pm
Quoting Sesamstrasse
{quote} Hi, May I ask: Who (MIT/Harvard??) made this study, what was the the exact measuring point of volume and how long was this study in time? Is there any reliable source except stockmarket data? I guess no. regards Guido
https://www.amazon.com/Microstructur.../dp/026262205X (MIT Press)

- correlation between tick and money volume 0.98

Caspar Marney in 2011 >90% - you find the study in the attachment.
Attached File(s)
File Type: pdf fxvolume tick volume vs real volume study.pdf   552 KB | 1,052 downloads
  • #376
  • Sep 25, 2020 3:35pm Sep 25, 2020 3:35pm
Quoting DonPato
{quote} Agreed...but its one thing to see price and quite another to view it from the order flow/volume point of view...case in point. Let look at this pair of candles: {image} You can see what a price action trader would call "two strongly bullish" candles. The reasoning would go something like this. Both opened at or near their lows, and closed very near the highs, on rising volume with a strong "delta" reading indicating the majority of the price action was buying. So far so good...however, there is nothing here to indicate what price level that...
I have read your posts years ago DonPato and have been interested in Delta volume for a long time. From your posts it looks like you were able to code the volume delta to show up in a market profile form. Is this correct? I have been interested in this form of analysis
  • #377
  • Sep 27, 2020 1:55pm Sep 27, 2020 1:55pm
I wasn't able to code the indicator you refer to but a very smart guy named Ahmad was. You can find it here:. https://www.algodeveloper.com/product/volume-profile/

No I don't get paid to promote his software and no I do not support it. But if you use cTrader this will be of great help.
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  • #378
  • Sep 27, 2020 11:13pm Sep 27, 2020 11:13pm
Quoting DonPato
I wasn't able to code the indicator you refer to but a very smart guy named Ahmad was. You can find it here:. https://www.algodeveloper.com/product/volume-profile/ No I don't get paid to promote his software and no I do not support it. But if you use cTrader this will be of great help.
Yours with the delta placed onto each candle is probably more informative.
  • #379
  • Sep 28, 2020 2:10pm Sep 28, 2020 2:10pm
Quoting combosaiyan
{quote} Yours with the delta placed onto each candle is probably more informative.
Thank you for the compliment. However both are useful especially when you are trying to pinpoint a particular level to interact with or place pending orders like stops or limits
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  • #380
  • Dec 20, 2020 2:28am Dec 20, 2020 2:28am
Quoting DonPato
{quote} Thank you for the compliment. However both are useful especially when you are trying to pinpoint a particular level to interact with or place pending orders like stops or limits

Hi Donpato, thank you for your efforts to educate. I appreciate others constructive comments that added to this. I have read all of your threads Donpato and have derived much from them
kind regards Deltauser
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