Support Board

Date/Time: Tue, 14 May 2024 21:17:12 +0000

[User Discussion] - Chart volume filtering

[2020-10-11 00:11:23] #1 [Go To First Post]
User19165 - Posts: 346
Hi there, During rollover in pretty much all futures markets, you will get off the book block trades going through. This will increase in frequency as rollover is approached. In a market like the Hang Seng with its monthly rollovers, rollover operations will commence about a week before the roll and intensify as it nears. The trades are happening at the exchange block trade facility and in no way impact the current liquidity in the book. As a result of this, order flow analysis becomes virtually useless as the rollover date nears. I have previous tried to filter this out with the volume >= setting in the chart settings advanced settings 2 tab but this will also remove legitimate liquidity taking large trades and I need to see those. I wonder if you can add an extra filtering option that is comparing the volume size vs the inside bid/offer sizes. If the volume reported is too large, then can assume it is an off book trade and drop it from analysis when this checkbox is selected. I would hope this would make trading the rolls more reliable. Missing out on a full week every month really hampers my profitability. Many contracts roll monthly and it would benefit everyone that is using volume on every rollover. With thanks for your consideration.

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