Index Futures volume and cash

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grantx

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The significance of volume expalined throughout T2W I generally agree with. My problem is reconciling index futures volume as a driver for futures movement when the futures is generally following the cash.

Regardles of volume, whatever the cash does, the future will follow (or pre-empt).

Any suggestions?

Grant.
 
Since the two markets will always be tightly linked via arbitrage and such, I see no real conflict between index volume and futures volume. They are going to fairly closely match each other on a relative scale. As such, you should be able to use one just as well as the other.
 
I've had the same thoughts as Grant on this issue. I'm trading the FTSE 100 futures market. Why don't the exchanges allow us to see real time volume data for Indexes?

Peace..
 
RT, LT,

Good points. If you retrieve quotes for constituents of an index, I'm pretty sure volume is shown. Then, via Excel dde's, link the volumes and sum them all (with appropriate weightings). Then again, it seems a lot of work. Why don't they just provide the real-time volume?

Grant.
 
grantx said:
Then again, it seems a lot of work. Why don't they just provide the real-time volume?

Grant.
Click to expand...

I've asked this question on another board and got a peculiar answer. I don't want to make it sound like a conspiracy theory or anything but apparently the reason why exchanges do not provide real-time volume information for the parent indexes is because this information is too valuable to disseminate to the masses.

Apparently it would give the masses too much of an advantage and would ultimately erode the edge of insiders working the markets. :whistling

Btw, we may be neighbours Grant. I too live in Stockport. :)

Anybody have an alternative explanation?

Peace......
 
LT,

There's a coincidence.

I've also heard that explanation but I don't buy it. Like I said, it can be determined with a bit of work. Volume is also shown on level 2.

The market-makers have the edge - buy the bid, sell the offer, take the spread, and determine prices. Free lunch.

Grant.
 
lote_tree said:
I've had the same thoughts as Grant on this issue. I'm trading the FTSE 100 futures market. Why don't the exchanges allow us to see real time volume data for Indexes?

Peace..
Click to expand...



Why not forget the Vol - and trade off the PRICE.........? :idea:
 
theroguetrader said:
Why not forget the Vol - and trade off the PRICE.........? :idea:
Click to expand...

Forgetting the volume would be catastrophic for the way I trade. Without volume I wouldn't really know how much fuel there is behind a move.

LT,

There's a coincidence.

I've also heard that explanation but I don't buy it. Like I said, it can be determined with a bit of work. Volume is also shown on level 2.

The market-makers have the edge - buy the bid, sell the offer, take the spread, and determine prices. Free lunch.

Grant.
Click to expand...

Is there a guide on how to set-up a dde with excel to import data from Interactive Brokers? I'm going to need something more user friendly than Micrsosft support articles lol.

Peace...
 
lote_tree said:
Forgetting the volume would be catastrophic for the way I trade. Without volume I wouldn't really know how much fuel there is behind a move.



Is there a guide on how to set-up a dde with excel to import data from Interactive Brokers? I'm going to need something more user friendly than Micrsosft support articles lol.

Peace...
Click to expand...

Lote_tree

You could use and download IB's own guide with examples

Application Programming Interfaces

Charlton
 
lote_tree said:
I've asked this question on another board and got a peculiar answer. I don't want to make it sound like a conspiracy theory or anything but apparently the reason why exchanges do not provide real-time volume information for the parent indexes is because this information is too valuable to disseminate to the masses.

Apparently it would give the masses too much of an advantage and would ultimately erode the edge of insiders working the markets. :whistling
Click to expand...

I sincerely hope that was intended with tongue firmly planted in cheek. The exchanges don't quote volume on indices because indices don't trade. They are mathematical constructs and nothing more.

If you want to get the volume totals for an index, as has been discussed, you can certainly combine the volume for the constituents, but make sure you account for the specific weightings of each stock.
 
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