The largest players can be seen only by means of huge volumes. Volumes can vary from season to season, depending on the interest of the participants. We need to understand what volumes are averages, and which ones are the extra. For example, letís consider Decí ES (mini S&P). Which volumes within hourly chart are the standard, and which are the extra?
Switch on Volume Search module of Volfix. Take a sample of the last 2 months from September 14 till November 14, price scale 0,5 (price scale is squeezing the cluster, one tick on the ES is 0.25, when we put 0.5 - we compress the clusters twice to remove excess noises).
In this table, we can make a selection of MAX Volume (this is the maximum volume of cluster with the Price scale 0,5). The maximum volume is 71,700 contracts. Minimum - 1.
Also, we see that the total number of clusters is 1042. Letís take 20% of 1042 Ė this is 208. Define the boundaries of the increased volume by number 208. In our case it is 22354. Round it to 22,000. Further, we believe that volumes of more than 22,000 are the volumes of high value. These volumes will be the alarm, that there is a high probability of entry of big players.
We also define the extra volumes. For extra volume we take 5% of the sample. In this example, this will be the 52 column (5% in 1042). This column shows the value of 35650. Round up to 35,000Now we mark all the volumes of 35,000 contracts and higher as volumes with the highest probability of entry of large buyer.
Now letís open Cluster Profile module and select the volumes in the menu SETUP>Volume Limit, High Ė enter 35 000, Low Ė 20 000. Searching the the possibility of entering a major player. As well as how the market responds to these inputs.