A Mid-Day (4/24) Look at Markets Traded on ICE Futures US and ICE Futures Europe
Looking over the CQG Quote Spreadsheet, which offers over 200 market data elements as well as order routing functionality, we can see that the Russell 2000 Index is off just 2.90 points this morning. However, the energy markets are
down but appear to be recovering from the early morning weakness. The Softs are also down with Sugar leading the way, currently down 2.51 percent. In the Forex market, the dollar is showing some strength this morning, Now, a look at some CQG charts of the markets.
Russell 2000 Index (mini)
CQG offers Constant Volume Bars, which build bars based on executed volume, not time. This example is building a new bar when the total executed volume reaches 250 contracts. This type of charting is
especially good for markets that trade around the clock. Time based charts will have numerous gaps due to the low overnight activity.
The two studies plotted along the bottom are tracking the number of contracts traded at the ask price (buying volume) and the number of contracts traded into the bid price (selling volume). The green line is a five bar running sum of contracts traded at the ask price. The red line is a five bar running sum of contracts traded at the bid price. The bottom study is simply the difference between the red and green lines.
On the chart, the green arrow is when the buying volume line crosses above the selling volume line. The red arrow is when the selling volume line crosses below the buying volume line. The key information here is the red (selling volume) line was dominating, and the green (buying volume) line started to dominate. Now, the sellers are slightly more aggressive.
ICE WTI Light Sweet Crude
This chart is a one-minute Time Based TradeFlow chart with the same two studies detailed above added. We can see the
double bottom was accompanied with sellers backing away on the second test of the low. That is, the red line made a much lower high. Buyers then came in.
Sugar World #11.
This view uses CQG’s TradeFlow Chart, Pre-Trade Analytics, and a two of my custom studies. More information on this chart type and studies are at this link. The TFCross
study, which is a 5-bar running sum of the buying volume verses selling volume, is showing buyers coming in. The DmTr (DOMTracker) study, which tracks the resting orders in the order book to sell and the resting orders to buy is indicating that more offers to sell are coming in (the red line is dominating).
The Dollar Index
This view uses the CQG Constant Volume Bars with
my two custom studies. I have highlighted those points where the BAVolOs oscillator peaked or turned up. The oscillator is tracking the difference between the buying volume line (the green line) and the selling volume line (the red line).
Links to more information
The CQG Web Site
Learn more about features of CQG.
CQG
Need historical data?
Visit the CQG Data Factory.
Data Factory
CQG API
Available with version 7.4, CQG’s API offers users the ability to export CQG market data and analytics to external applications (PDF article).
CQG API
TradeFlow articles and more.
Articles
CQG Charts and studies
Charting
Order Routing and CQG
Trade Routing