Types of Volume - Developing JftB Issues

[TheBramble]

There are six kinds of volume:~
Causative.
Consequential.
Inadvertent.
Mixing.
Delayed
and Rogue.

Although these types of volume were never expanded upon, I wonder if any would care to hazard some guesses?

I'll take a shot at those of which I think I can make a half-sensible interpretation.

Causative - The volume causes the price to move.
Consequential - The volume is as a consequence of the price action.
Inadvertent - no idea.
Mixing - no idea.
Delayed - The volume reported is delayed either accidentally or deliberately.
Rogue - A spike or feed error in volume data.

 

[tomcat]

Mixing.. is a both causative and consequential occuring on the same bar.

There are six kinds of volume:~
Causative.
Consequential.
Inadvertent.
Mixing.
Delayed
and Rogue.

Although these types of volume were never expanded upon, I wonder if any would care to hazard some guesses?

I'll take a shot at those of which I think I can make a half-sensible interpretation.

Causative - The volume causes the price to move.
Consequential - The volume is as a consequence of the price action.
Inadvertent - no idea.
Mixing - no idea.
Delayed - The volume reported is delayed either accidentally or deliberately.
Rogue - A spike or feed error in volume data.

 

[FTSE Beater]

Hi TheBramble

Inadvertent could be fat finger syndrome, where someone places a trade for 100,000 when they meant to place 1,000's worth

 

[TheBramble]

Mixing.. is a both causative and consequential occuring on the same bar.

I'm not sure I understand. Regardless of the period you're trading (5mins, 60mins, EOD) I don't see how causative or subjective could influence the current bar.

I've been interpreting this as (e.g.) increasing volume, increasing price, price closing toward top of bar ===> trend is up, long until reversal indicated. So all the preceding bars (price & volume) indicate taking a long position which leads to me ADDING to the volume on the next bar with my trade. Because the volume was increasing it CAUSED me to add to it. CAUSATIVE volume i.e. volume characteristics that cause more volume. (or of course LESS if you reverse this scenario).

When the MMs get to the point where they want to unload (distribution) they artificially mark-up the price to attract buyers (generally on low volume so there is no causation in effect) and as a result mug-punters pile in with as a CONSEQUENCE of the price and create volume. CONSEQUENTIAL volume. CONSEQUENTIAL volume i.e. volume that is as a consequence of price action (not volume action)

I'd welcome feedback on my above interpretations - especially if they are incorrect.

I appreciate these are all quite academic (mechanical) issues, but if they offer any additional insight into the mechanics of the market they are IMO worth pursuing.

]Inadvertent could be fat finger syndrome, where someone places a trade for 100,000 when they meant to place 1,000's worth .

Hmmm...That would work.

 

[JumpOff]

Does volume really mean anything in derivative markets (other than a measure of how many kids came out to the playground today)? I think I understand the influence of supply and demand on stocks (which have a finite supply). If you could quietly accumulate a large portion of the stock, you could force the price up. But in futures and other derivatives, you can buy an infinite amount of the imaginary underlying stuff, as long as you can get someone on the other side of the trade who believes the price is sinking. How can you accumulate a large percentage of something that is unlimited?
JO

 

[TheBramble]

JO - I can't quite link what you're saying about futures & derivatives with the previous posts.

I think it's an interesting question, don't get me wrong, just confused with it's relationship, if any, to the attempt at classifying or defining types of volume.

The fact that there is volume associated with futures/derivatives would I imagine indicate they are subject to the same mechanics as the underlying. But to speculate on accumulating "...a large percentage of something that is unlimited" is specious. Whilst you could state with some accuracy after buying 1,000 shares of stock which have a float of 1,000,000 "I have 0.1% of the stock" - why would you? And the fact you couldn't do this with any derivative is not really an issue.

Perhaps I missed your point?

 

[stevet]

volume of course is 50% of the plot along with its mate, price making up the other 50%, in derivatives as in any market, but to understand price and volume means understanding the use, reasons and types of trading in each of the various products

 

[JumpOff]

Sorry to be so unclear.

The fact that there is volume associated with futures/derivatives would I imagine indicate they are subject to the same mechanics as the underlying.

Is this true? My question has do with the causative nature of volume. Anytime "accumulation" or "mark up" enter the conversation, I believe there is an assumption that an entity can move the market based upon the volume of the stock they control. I think this is true in some markets; I hear of traders who lament their ability to buy or sell all they want because doing so would move the market.

In order to short a stock, you used to have to "borrow it," ie; your broker had to buy it or already own it, and they would "loan it to you." Perhaps this is no longer true.

Is it true that futures and index markets are subject to the same mechanics as the underlying? It is my understanding that in these markets volume is unlmited (at any given time there are 10 corn contracts 'owned' for every corn contract that can actually be delivered). The price is tied to the underlying market by the fact that if it gets "too low" compared to the underlying, the arbitrage players come and buy it up. The price is controlled by the underlying spot market.

So my question is: Can there be causative volume in a futures or indexed market?
JO