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The ASF Futures Playbook - A collection of plays to develop on your own

Discussion in 'Derivatives' started by CanOz, Dec 30, 2016.

  1. Trembling Hand

    Trembling Hand Can be found on the bid

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    What is that data? If that is daily it looks wrong. Should be around 20,000 to 30,000 on a normal day.
     
  2. Trembling Hand

    Trembling Hand Can be found on the bid

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    Ok I see its hour or something? But still you have to be careful who's data you use. IB for example is rubbish and treat a rollover as a trade and included it. Most decent data vendors don't include it. Esignals CQG etc.
     
  3. Quant

    Quant

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    OK thanks for that , obviously i will ignore rollover on what im getting , intraday over couple days no big deal but big picture its distorting what im looking at

    My daily volumes look about right
     
  4. kid hustlr

    kid hustlr

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    By no means an expert but several of the guys i follow on twitter who use MP / VP almost exclusively have made the point that during rollover their edge is lower
     
  5. CanOz

    CanOz Home runs feel good, but base hits pay bills!

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    Hi quant, hope all is well ! I use continuous back adjusted contracts, merged. So the volume at rollover is captured in the composite and then in the individual daily profiles as well. There is a slight difference in the volume around rollover but it's all relative in terms of the key reference levels anyway.
     
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  6. grah33

    grah33

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    It's great seeing how people are trading their futures. Just wondering if there is a name for these kinds of technical analyses methods that people are using to trade futures, or a book they got it from?

    Maybe price action stuff (such as in the babypips course for forex ) can also be used, although it doesn't incorporate volume in the analyses.
     
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