 Hello everybody, good evening and welcome to this other webinar about the series Let's Discover the Volumetric Outreading Platform. Last week I said it was the last webinar, but actually I was wrong. So apparently I'm still here. It was my mistake because I had mistaken the calendar of the webinars. So apparently there was a topic we had left behind, which is the aggravate volume and large traits, which will be the topic we will be talking about tonight. So please take a look at the disclaimer, so we will be getting started in a bit. And then of course, if some of you want to have a quick recap of the things we said about order flow last time, of course, we can have a look at the market together and trying to include the topics we're going to talk about tonight with all we said about the volume analysis in the previous webinars. So before we get started, let me just remind you the offer being still available in partnership with Volumetrica and TickMail. So for those already TickMail customers, you can get a license for Volsys platform for a discounted price, of course terms and conditions apply. If some of you are not customers of TickMail customers already, you can email the Volumetrica trading team and request a free demo with full functionalities over a limited period of time. You can do that by clicking the contact form here on the Volumetrica website. And if you want to ask me some questions, this is my email address. You can mail me and ask me whatever you want about the topics we discussed in the webinars. So let's get started and let's get the platform. I hope all of you can see my shared screen. And let's take a look at the first of all, let's talk about what big trades and aggregate volume is. So we will also have a look out to include the indicator showing that evidence in the platform for those of you already using Volsys platform. First of all, what is aggregate or what is aggregate volume? What do we mean when we talk about large big trades and aggregate volume? Let's say just to introduce the concept in a very easy way, it is an order being splitted, a large order splitted into many small orders. Of course, the aggregation is the main part allowing us to reconstruct what happens in the tenant sales. So basically, surely you remember what we said about market microstructure. So when aggressive volume gets into the market, there is always a track left by those trades in the tenant sales, which is this tool here. Sorry, let me just, yeah, like this. I already showed you this tool during the dedicated webinar where we were talking about market microstructure. Basically, all of those green and red squares you can see quite quickly moving in the tenant sales, those are aggressive trades. And when we have a green square, this is a market order lifting the offer in an aggressive way. So basically, aggressive buying. When we have a red square, that shows aggressive selling order. So along with that, we can also see some many other information, like for example, the time where the trade has happened, its volume in terms of volume lifting the offer or hitting the bid. And of course, the price, which has been hit in terms of bid or ask side of the book. So this is what normally happens whilst market trades. That means that normally, we aren't really able by just reading the tenant sales, we aren't really able to detect when a large volume is entering the trade, because there are two chances actually, either the volume hits the bid with a very large order, which is hitting the ask or the bid with its entire size. So we might have something like here in the tenant sales, something like this, time 7 minutes past 19, volume maybe 230, at the price 3956.75. We can either have a situation like this, but let me be honest, this is something that quite never happens. It never happens because normally, when there is a large intention by large traders to place, of course, large orders into the market, they rarely happen all of the same level and all on the same order, under the same trade. So what normally happens is that those large orders, they just get split into smaller orders, which sometimes don't even happen at the same price level. So they tend to happen around similar price area. So it is more likely, we are more likely to have a situation like this, to have a print, so a row appearing here in the tenant sales, 19 and 7 minutes, 10 lots at this price, 19, 7 minutes past 19, other 30 lots at 3956.0. So unless those trades happen very, very quickly, it is quite hard for us retail traders to understand when a large trading is, a large trade is hitting the market or which that would actually mean that a large trader is initiating in a certain specific direction. And this is where aggregate volume comes to help because some of the most advanced tool in terms of order flow analysis are able to reconstruct the timing sales. So basically, in that case, we have a reconstructed tape, which is able to recognize when small orders comes into the market in the same direction. But if they are occurring at similar price level, so with a specific offsetting ticks, and with a distance of a few milliseconds from the first one to the last one, then this algorithm is able to reconstruct the tape and recognize what a large order has been trading over that levels. So this is what basically aggregate volume is. This is something which, of course, it is very, very useful in terms of reading the order flow. Why? Because it acts as a confirmation of a commitment of large traders in a specific direction, so by or sell, in a specific price level, which, for example, it might have been object of our previous volume profile analysis, or VWAP analysis, or just the lowest of the day, the high of the day, and so on. So basically, if we have a level, which for many other reasons we were considering as an important inflection point where we would have to attention what happens when price reaches that level, if we have the evidence of a great aggregate volume coming in, that might be a huge confirmation of what our bias was. And therefore, we can use this information to help us in making a trading decision. This faction, this possibility comes actually with different, yeah, sorry, with different chance. I mean, we can have that evidence shown in different situations. For example, Volsys platform offers an indicator called Big Trades, this one, so you can reach the indicator by right clicking on the chart. And if it's not already attached in the chart we are using, we can easily just scroll down the indicator list and choose it from the selected, from the main list with a double click that will be immediately attached to our main, to the list of the indicator used in this chart. And of course, as it is once it's attached to the chart, all we have to do is of course set it up. What's the best way to set it according to the instrument we are using it with? First of all, we need to think in terms of thresholds. Of course, if we are using, if you want to have this information on the S&P 500, we need to know what a specific relevant volume would be for that instrument. For instance, I am using it set to with a filter of 500 volume, a volume of 500. Why? Because of course, I know that S&P 500 will need at least 500 aggregate volume for it to be significant in terms of analysis. If we want to use the same information, for example, on the NASDAQ, which is a much lighter instrument in terms of market liquidity. So in terms of volume traded, we will have to set it lower at a lower threshold. So something like, for example, normally I use it at 100. Okay, so I would set my threshold for the NASDAQ at 100 volume. Then of course, the most important part of this indicator is that it needs to be specified here that the volume that we want to have shown, it is an aggregate volume achieved by aggregate trades. And after we have set up the indicator with these settings, of course the indicator will calculate the amount of trades hitting the timing cells. And it will reconstruct the tape in terms of the settings we have indicated here. So once it happens, when the algorithm starts detecting more than 500 volume entering the market, either by order cell side, if those volume are respecting the criteria of aggregate trades, so that means that they are entering the market at close price levels and within a specific execution time expressed in milliseconds between one trade and the next trade, then we have the aggregation parameter met. So in that case, the indicator will put a small square on the chart with the indicated the volume of the aggregate trades detected in that area. Let's look back if we can see an example of this. All right, so of course, this is something that it doesn't happen all the time. So we will have to scroll back the chart a little bit until we find a specific situation where that has happened. Let me just be a little bit patient. And so we can also add a quick explanation of how we can use this information in order to fit our trading criteria. Here it is. As you can see, the price at this very top has shown an aggregate volume of 583 volume hitting the ask side of the book. Why do I say so? Because we can see the small square at the small rectangle actually at the top of this bar, it comes with a light blue color. So that means, of course, this is something you can change in the indicator settings. This is the color indicated for the ask side. So that means that over here, over the last few ticks, an aggregate volume hitting the buying side of the book, the ask side of the book of 583 contracts has hit the market. So we can definitely tell that somebody has been trading quite a large buy position right at this level. Of course, when we have the opposite situation, so we have a large aggregate volume hitting the sell side of the book, so basically the bid side of the book, that rectangle will be colored in pink. And the same thing inside the rectangle will be plotted the number of the contract detecting to be an aggregate volume. So it's like this indicator kind of reconstructs the tape and joins all of these small orders hitting very quickly that side of the book and makes a sum of them all. So we can have an idea of what the aggregate volume over that specific area is. So how do we use this evidence of large order as an aggregate volume for our trading? Let's say, first of all, we always need to remember that this is of course a trade that has been initiated in a specific direction. So basically, this is always to be considered as a strong buying pressure. So this is an objective reading of this information. This is a heavy buying activity over these levels. But then outcome didn't the market follow through this volume and continued moving upwards. Because sometimes this aggregate volume is not always left by big boys, big large traders. Sometimes it is left by HFTs, so basically high frequency trading algorithms, which don't necessarily are initiated in a position. They are just making some very quick and very short sculpting trades among specific price levels. So first thing we need to pay attention to is always price action. That means, yeah, this is an evidence of heavy buying activity. But what kind of effect did this heavy trade buying activity left in the market? Was it absorbed? As we said the last time what absorption is, or did it make it actually initiate price to move in a specific direction and was actually price moving in that direction supported by that heavy body? This is the answer. This is the question we always need to ask ourselves before deciding to take a trade based on aggregate volume. Let's say the most powerful indication by this evidence, it occurs when this volume gets absorbed. So when we have a follow through, most of the time it is incredibly quick in order for us to have a benefit to go in continuation of that move. So most of the time we are just not able to follow through that move unless a specific situation which I will go through in a while in a bit. But let's say normally it gets more powerful when we have evidence of absorption of this aggregate volume. Like in this example right here you can see that price was pushing higher. As you can see we have lots of bars showing just to have a reading of the order flow considering what we said last time as well. We have basically a directional delta. As you can see price is mostly mostly a trading buying volume. So we always have directional delta. Suddenly we have this evidence of a big trade which actually leads to an immediate absorption. Also acts as an excess of this already already here already evident initiative acts as an excess and then we can see that market already in the in the next in the very next bar is showing a huge a huge exhaustion of that heavy buying activity was taking place at the very top of this ring high. Of course in an aggressive way that could have already have been an indication for a quick scalp reversal trade. When we did have evidence of that once we can see that the aggregate volume area. So basically the area intended as a few ticks. So something like five or six ticks area where the aggregate trade has happened. We wait for it to be retested also in the very next bar and if in the on its pullback we can spot exhaustion. So volume experiencing a drop. Then in that case we can have an still an aggressive but a good one confirmation that that volume was absorbed. So wasn't able to move the market straight away in that direction. So they why why is that interesting because first of all we can have a very evident a very clear idea of the of that volume being unable to move the market immediately. So there is most of the time some space for a quick retracement of the price. Okay this is of course because we don't know actually if that trade is to be considered as a the last leg of HFT activity or if big boys are really initiating right here. We have a confirmation of that where only when price we basically we just need to wait a little bit what happens when the price does when it comes back to the area of the aggregate volume. Okay if we we don't see volume coming in in this area this volume is more likely to be intended as final the final activity of an HFT. Otherwise if those those levels those price levels are showing through the aggregate volume the activity of a big boy a big trader we would never see exhaustion here we would never see exhaustion here and in that case of course it is a little bit more complicated because we need some further evidences in terms of but definitely that would now would completely change the way we want to trade this evidence because if we can detect that this volume this aggregate volume has been left by big traders large traders willing to initiate buying at this at this at those prices then of course we want we don't want to trade it as a fading of that move on the on the opposite we want to go with the big boys right but this is not the case why we because we can see that once price as the chance to trade again once again all of those areas these price areas it gets completely exhausted and actually what does afterwards starts initiating the other way why do we have these evidence we have these evidence when we can see delta increasing over the next bar and also in the second next bar we can see strong selling imbalance coming in so as we said two webinars ago this is an evidence of power in the short direction after we had a wall this time not given by the absorption but given by a different kind of absorption which is actually the inefficiency of whoever has left this aggregate volume to push the market higher of course this is something that it needs to be in order to be powerful information it needs to be put in the right context I have made an easy example an example which can easily being spotted while market trades and you can detect actually if you have this indicator set properly you can make an analysis and see how price reacts once it shows the evidence of course this is a very basic explanation which I can make you know not for an hour but normally it is a huge it is a huge confirmation of what that important price level has been either if this shows big traders activity then if it shows HFT final lag okay but let's say just to keep things easy most of the time those evidence are more powerful if we treat it as a point of excess of the market so if we treat it the other way they have hit the market compared to the one to the way the aggregate volume I said the market so in this case of course it was hitting the buying side of the of the ladder of the order book and I want to trade it short of course after the confirmation that we can see exhaustion here why exhaustion and not absorption because normally these big trades tend to occur in low volume areas so when we are trading in low volume areas we don't normally have I mean absorption is less likely to happen because in that area not that much liquidity is provided that means not so many limit orders are available to to execute aggressive orders that means market won't have the chance to trade that much volume so we tend to have either exhaustion like in this example or otherwise we will have a follow-through of pressure to the upside so in the same direction of the big trade and the market will just follow through straight away and go in the same direction of the of the big trade so it is really impossible to get the situation wrong all right so let's have a check if we have another example maybe to the downside let's say those trades of course are more likely to happen in the first minutes of the us opening session or in the last minutes of the us session so let's say 10 minutes 10 15 minutes before the closing of the market but this is just a rule of thumb I mean sometimes they would just occur during normal trading hours but when they normally happens they will just move the market very very quickly and its reaction on that level when we can spot those situations are very very clear then so as you can see I was scrolling back the chart through the entire session of today the only evidence we had it was that one I was showing you earlier so as you can see they're not that frequent but this is a good thing actually yeah like yeah this one we have another one here that's from Friday as you can see we have something very similar in this situation we have 502 lots dating the bit sorry the ask side still respecting the aggregation criteria but in this case as you can see the market has had an immediate follow-through and wasn't exhausted at all at this price area so in this case of course we could have used this situation to direct to trade it short to the short side on the opposite if we just give it some time and we analyze what happens bar by bar what do we have afterwards we have yeah market follows through immediately comes back here doesn't give that much of an evidence when it comes back to the area at least in this bar but then what happens in the next bar we have absorption we have absorption that means as we were talking about last time uh heavy sellers the amount of sellers try to trying to sell and take the market down to the downside which gets absorbed though gets stopped out by gets stopped by uh buyers which actually we assume are the same buyers want wanting to defend defend those price level where they have placed their big trade and markets continues to the upside this is basically the opposite situation than the one we were looking at earlier of course this could have been a very nice trade to the alps that to the upside using the information of the aggregate volume because we can see that price wasn't exhausted at all over the price levels where he had test traded and on the opposite side what happens sellers try to sell but they can make it so once price starts again to move to the upside with some pressure to the upside as well of course in this stage we have one two and three confirmation leading to the same direction leading to the same confirming the same idea for a possible long trade all right somebody is saying thanks for this content i'm very glad to hear that uh i really hope you all like this uh series of content we have talked about over these 10 weeks tonight tonight i'm sure it's gonna be the last webinar i'm not getting that wrong i hope so no sorry i'm just joking of course yeah that was the last uh was the last topic we have included in the full program of this series of webinars uh of course in terms of order flow analysis uh volume analysis there is much more we could have to talk about but there is it is a never-ending topic if you want to be accurate but of course over these last 10 weeks we were able to have a quick overview of many different aspects of what the what the proper uh volume analysis and order flow analysis can be uh i am really glad to uh for having the chance to present this series of webinar to all of you i hope you uh could appreciate this i hope you have all liked the content and of course if you want to make some questions about we have talked about i feel free to email me and i'll give you a reply that's it so thanks for your attention and i wish you a good evening and a good trading