Good morning everyone, I've been trading professionally for the past 14 years, primarily focusing on institutional order flow and volume analysis. Recently joined this community because I believe in giving back to developing traders. Background: Started as a retail trader and took heavy losses in the early years, transitioned into proprietary trading where I refined my edge, and now trade full-time with a focus on exploiting the disconnect between what retail sees and what institutions are actually doing. What I want to share: I've noticed many talented traders here struggle with the same issues I faced - great technical analysis but getting stopped out by "random" moves that seem to ignore key levels. The reality: These moves aren't random. There are volume signatures that telegraph institutional activity before price catches up. My goal here: Help serious traders understand these patterns. Not selling anything - just believe the retail vs institutional information gap needs to shrink. Today's observation: Watched several setups yesterday where retail was positioned for bounces at "obvious" support levels. Volume told a completely different story. Those who understood the volume context avoided the traps. Question for the room: How many of you incorporate volume analysis beyond basic "volume confirms trend" concepts? Looking forward to contributing here. Best, Brian Johnson
I am very focused on price trends and price location in relation to vWap, avWap (anchored vWap), vPoc (Volume Profile), GEX (Accumulated Gamma Exposure Levels) and especially the interplay of Relative Volume values with Swing day trends (Day, Week, Month) and also with how price is selling off or is moving up during today's Intraday trends. Such as... (for Intraday) I find that if RVOL (Relative Volume) is less than .79 to lower... The market makers are in control and they (MMs) try to get you to buy weak volume highs where they go short (opposite) and try to get you to sell out your longs (on weak volume) on a stop out low where they go long (opposite). Then they reverse the trade by Bid/Ask spread play to be rewarded for their manipulations later in the day. When RVOL is greater than 1.20 then Institutions will start to nibble at trades and will trade more (selling or buying) since volume and transactions and the 'Book' is usually flush and the Institutional cost of trading is low enough so they will participate. AS RVOL increases (1.60++ to 2.20) more and more Institutions, Hedgies, NYSE Boys, will trade and the market has the best trends and continues that trend. Relative Volume Between .79 and 1.19 it is very tricky to trade. Since sometimes the MMs are running the show and sometimes the Institutions come into play if a Standard Deviation level is hit (upside or downside) how to play with Swing trade is similar but more involved cause you have to track trends with RVOL over what ever time period one chooses to trade. Day, Week, etc. For example right now for Relative Volume for Index ETFs today we have
I monitor aggregated futures VWAPs and long/short VWAP/price-momentum behavior. Since member firms at the FCM and BD SD level are all getting margin discounts and netted risk margin (margin relief), and the bulge bracket is offering guaranteed VWAP and %ADV execution to the buy side and prop shops, seems like you have to.
Your post is clear, concise, and to the point. So let me run your idea back by you with, hopefully, my correct summary understanding of its core idea and an example of how I, you, others could create it and trade it using your leading indicator idea. Some of my conclusions/assumptions are from past reading of your posts on ET and Reddit. 1. You have noticed that all the Global Index Futures markets are hedged against each other for reasons of enhanced liquidity, and lower trading costs and margin discounts for all the HUGE Global firms that trade them daily. 2. You note that these same firms, the Primary Dealers and Bulge Bracket, offer guaranteed vWap % execution in each of their separate indexes. Which ALSO creates a strong reversion to the mean of the vWap summary value (Let's call it Gindex) that is created if one aggregates/normalizes ALL the futures indexes together into ONE Global indicator (Gindex) 3. Example of how you use this Global vWap Normalized Summary Index... Gindex... 4. If the ES single vWap value is above the Gindex and the FTSE Futures Index is below the Gindex then you would execute a Hedged ratio pair trade where you would short the ES futures against the Long FTSE futures, etc., or some other similar type of trade to profit from the reversion to the mean built into this from both global sync hedging and each having vWap execution guarantees... both creating a two fold force of mean reversion ? Do I have this correct or did I FUBAR the indicator or execution or use of it ? '
When I say "aggregated" I mean any spread of stocks, ETFs, or futures—could be long/short or long/long like your idea of adding up all the indexes and VWAPs. You can do that. That's just volume aggregation and ThinkorSwim does that whenever you combine tickers, e.g. 50*ES - 5*YM. I always chart momentum and VWAP whenever I price something, especially if it involves more than one asset or derivative—unless there is no volume information. [EXAMPLE - ES/NQ spread] Another example is beta hedged single name exposure (e.g. 100*AAPL - 150*SPY), or something like a rate spread, an index or ETF spread. Knowing how the spread is trading relative to its VWAP and prior moves is pretty important wouldn't you say? A lot of execution algos are designed to cross prior traded price or trade against the take (selling into the bid or absorbing the sell orders). Look at my momentum detrending algo above (the histograms). It moves against the price moves because it's trying to get in front of the directional changes by using a function that leads trend shifts.
Volume is the most overrated metric in trading. All it tells you is how much something traded—not why, who, or what happens next. Price can rocket on high volume, drift on low volume, or go nowhere on massive volume — it all depends on float, liquidity, and how concentrated the holders are. Volume doesn’t show strength — it shows participation. That’s it. Unless you’ve got a time machine, knowing there was heavy buying or selling after the fact is just trivial. Price already moved. The opportunity already passed. Traders obsess over volume like it’s predictive, but it’s just confirmation bias dressed up in a histogram. You're describing how execution algos respond to price and volume after it moves, not how to predict the move before it happens. Knowing where VWAP is, or how spreads trade relative to it, is great for post-move execution — not for forecasting. Volume doesn’t lead price; it follows and sometimes lags it. That’s why your “momentum detrending algo” reacts to changes — it's derivative, not predictive. Price doesn’t “respect” VWAP. It occasionally bumps into it by coincidence — because that’s where the herd stampeded earlier. Using VWAP to forecast direction is like staring back at your own footprints in the snow and hoping they’ll help lead you to the road. It’s not predictive — it’s a lagging average of crowd behavior. Useless if you're trying to stay ahead of the next move.
You know fuck all about algos. You don't understand estimators, error functions, or even basic statistics.
Algos don’t make bad strategies good — they just automate flawed thinking at scale. You're still using ambiguous signals from indicators, just faster and with more CPU cycles. Most of these models are just glorified RSI tweaks and VWAP-following bots dressed up in Python. Slapping code on a broken compass doesn’t make it point north.