Understanding Volume

[rewardiaz]

@MerryDay . I wanted to ask your opinion on an observation I made today. As mentioned earlier, I have been collecting tick-by-tick volume data and labeling them as bullish or bearish based on the HA trend. Now, I’d like to show you a particular scenario that produced the following results:

Stock: IWM
Date: 10/31/20214 4:00pm 5min candle

Total Volume: 849,048
BuyingVol: 18,065
SellingVol: 830,983

However, the ticks are telling a different story: a positive Delta of 597,560, indicating a higher presence of buyers vs. sellers.

I’m simply trying to make sense of this logic, as I’m not sure a candle truly reflects volume activity. Of course, I could be wrong.

 

[MerryDay]

@MerryDay . I wanted to ask your opinion on an observation I made today. As mentioned earlier, I have been collecting tick-by-tick volume data and labeling them as bullish or bearish based on the HA trend. Now, I’d like to show you a particular scenario that produced the following results:

Stock: IWM
Date: 10/31/20214 4:00pm 5min candle

Total Volume: 849,048
BuyingVol: 18,065
SellingVol: 830,983

However, the ticks are telling a different story: a positive Delta of 597,560, indicating a higher presence of buyers vs. sellers.

I’m simply trying to make sense of this logic, as I’m not sure a candle truly reflects volume activity. Of course, I could be wrong.

The ToS platform does not have buyers and sellers information in the data feeds.
I am assuming that you are referring to the buyers and sellers from a Volume Pressure study similar to these: https://usethinkscript.com/threads/...ssure-indicators-labels-for-thinkorswim.8466/
These indicators make broad and not very good assumptions that ALL volume on a bull candle are buyers and ALL volume on a bearish candle are sellers. Obviously, this is not possible.
But these types of studies are popular on the forum; so must have some value to member's strategies.
But they do not reflect actual "buyer" "seller" data.

 

[MerryDay]

You can subscribe to BookMap through ToS to get the actual information that you are seeking.

 

[MerryDay]

You should realize that ETFs like IWM differ from equities in several ways, including how their liquidity is determined and how shares are created, which can impact the volume data for each:

An ETF's liquidity is determined by the liquidity of its underlying securities, while the volume of an ETF is influenced by investor activity. ETFs are open-ended funds, meaning that new shares can be created based on demand, which can allow investors to buy or sell large numbers of units without moving the price. In contrast, stocks have a finite number of shares, so if someone wants to buy a large number of shares, they must find another investor who wants to sell.

 

[rewardiaz]

Yes, for simplicity, I’ve adopted the terms "bullish" and "bearish" volume, though I understand that volume itself isn’t inherently bullish or bearish. I was referring to the study.

https://usethinkscript.com/threads/...ssure-indicators-labels-for-thinkorswim.8466/

I think this asnwers my question:

You should realize that ETFs like IWM differ from equities in several ways, including how their liquidity is determined and how shares are created, which can impact the volume data for each:

An ETF's liquidity is determined by the liquidity of its underlying securities, while the volume of an ETF is influenced by investor activity. ETFs are open-ended funds, meaning that new shares can be created based on demand, which can allow investors to buy or sell large numbers of units without moving the price. In contrast, stocks have a finite number of shares, so if someone wants to buy a large number of shares, they must find another investor who wants to sell.

This answers why all volume analysis always seemed off to me. I get it now.