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Tic Volume, Volatility Cycles, Market orders attack and most of all TIMING: Revision

Here I will post a picture with the tic volume having in mind the bigger picture. Here we can see that the spikes are related with some important reversals points. What is going on now? 

In fact there are some books on VSA (Volume Spread Analysis) analysis, or we can in Forex call that TVSA (Tic Volume Spread Analysis). However there is a difference in my approach and the classic approach. I can say that the VSA analysis was a great tool for analysing crowd behaviour on the markets. Yes it was because the markets has changed. They changed because now  first because they are globally interconnected. And there is a second thing still the crowd behaviour is a driving force tmarkets but there is something else. And this is the robot psychology. There is not only human psychology, there is a robot psychology too (welcome Isaac Asimov from the book I robot). As the automatic algorythmic strategies are a big player on the markets it is necessary to consider how they behave. There is a research book that mentions that the algorythmic strategies are much more correlated each other than the human strategies.

 The empirical analysis provides several important insights. First, we find evidence that algorithmic trades tend to be correlated, suggesting that the algorithmic strategies used in the market are not as diverse as those used by non-algorithmic traders. 

However as it is stated in the research paper.

Fifth, we find evidence that supports the recent literature that proposes to depart from the prevalent assumption that liquidity providers in limit order books are passive.

There are some things in the Oanda Open orders group. Here we can see the connection between the open orders and volume. Here We can see clearly that the spike in the volume has been provoqued by the simultanious activation of many orders. As we can see that some accumulation of orders work as attractors of the market action. 

 

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От 04 октомври 2011

 

Fifth, we find evidence that supports the recent literature that proposes to depart from the prevalent assumption that liquidity providers in limit order books are passive :). This chart can be interpreted that a major level of orders was hit and that provoqued a spike in the tic volume. The next major level shows where the reversal can go if it is about to continue.

What is important is that when we see that the tic volume has clear oscillatory patterns we can see WHEN the next attack would be. 

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От 23 септември 2011
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От 04 октомври 2011