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Old 15-03-2012, 11:00 AM
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investigate Why delivery volume does not help traders ?

Recently a boarder raised his propensity to delve deeper into the analysis of delivery percentage to arrive at some meaningful clue for trading.
My past experience said it is not of much use for traders.

let's see how?

[IMG] Uploaded with ImageShack.us[/IMG]

recently Glodyne, an IT company company (works in little uncommon vertical) observed rally in its stocks.
Even Marrill lynch Spain bought 3,00,000 shares on 14/3/12.
during rally stock rallied with increasing volume but falling delivery volume.

on 14 th , when aforesaid FII did the buying and morning star appeared with lower volume and slightly higher delivery volume.
my momentum trading setup raised the buy signal at this level too.

but the question is how a trader shall benefit with delivery % vol?

during rally del-vol was falling discouraging a trader to enter the trade.

my observation tells that during a rally del % often falls or remains static.


now let us take the example of FII selling.

In HDIL after a substantial rally a smaller decline was observed but delivery percentage was almost linearly falling.
[IMG] Uploaded with ImageShack.us[/IMG]
In HDIL on 14 th Robeco capital G fund sold around 35 lakh shares. on the actual day of fund selling,bearish Harami was formed and slight increment in delivery volume appeared.

morale is analysis of delivery percentage volume is not of much importance for traders.
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Old 15-03-2012, 01:53 PM
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Congrats for quality posts.
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Old 15-03-2012, 09:25 PM
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High Frequency Trading Impact on Day Traders

TraderPlanet Today

Unfortunately, Individual traders are in no position to compete with Wall Street’s powerful computers. These advanced computers use sophisticated algorithms or “algos” to execute million of trades in less time than it takes an individual to click a mouse. These algorithms are able to execute millions of orders in a fraction of a second and can scan dozens of public and private marketplaces all at the same time. They can process information and data at lightning speed, they can spot trends before other traders can even blink, they can modify orders and change strategies within milliseconds.

Day traders today more than ever before must approach the market differently, they must employ a structured and strategic approach to all of their trading. They must learn to understand the parameters that are used in developing the algorithms; they must learn to develop their own edge in trading against these machines.
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Old 15-03-2012, 10:12 PM
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does it really matter volumes belong to intraday or delivery ?
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Old 15-03-2012, 11:36 PM
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Thanks Avadhoot for opening separate thread for the discussion on deliverable% volume, you exactly answered the question I was curious about that what will be the impact of delivery % in longer run instead of next day.
I have worked on open interest of options and found some useful co relation with prices so got interested in delivery % as statistically nature of the both is almost same but here in stocks big difference is commitment of the trader. In the case of open interest of options theoretically commitment of the trader is for 1 month and in stocks delivery commitment can be anything from Trade + 2 days to infinity. Also In past some commodity traders in foreign markets used 'commitment of traders' ( used to publish under same name) data effectively. Even though there is no co-relation of delv. % and price as you observed but it may give some important clues and structures that why it fails where it works somewhat in F&O and commodities.
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Old 15-03-2012, 11:46 PM
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For every buyer there is a seller. For every delivery buyer, there is someone who is giving away delivery.

So how does it matter.
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Old 15-03-2012, 11:53 PM
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Originally Posted by shiree View Post
High Frequency Trading Impact on Day Traders

TraderPlanet Today

Unfortunately, Individual traders are in no position to compete with Wall Street’s powerful computers. These advanced computers use sophisticated algorithms or “algos” to execute million of trades in less time than it takes an individual to click a mouse. These algorithms are able to execute millions of orders in a fraction of a second and can scan dozens of public and private marketplaces all at the same time. They can process information and data at lightning speed, they can spot trends before other traders can even blink, they can modify orders and change strategies within milliseconds.

Day traders today more than ever before must approach the market differently, they must employ a structured and strategic approach to all of their trading. They must learn to understand the parameters that are used in developing the algorithms; they must learn to develop their own edge in trading against these machines.

Little off-topic but this report reminded me the famous story of Garry kasparovb against then master computer program deep blue.
It was very hyped series of 5 between Garry and Computer and press hailed it as Man vs/ machine. Garry lost the first match and every reporter mobbed him and asked whether its end of human intelligence? Usually Garry don't reply to reporters after loosing the match so he said lets wait for 5 matches to complete you may never know what will be the final result.
Miraculously Garry won the series and reporters asked how you managed to turn the table, he said computer has the edge of thinking million moves per second and my usual strategy of playing is making the game more complex but here obviously it wont work, so I exchanged pieces and tried to stretch the game till end-game where few pieces remain on the board. Now the game was even and furthermore it helped that computer didnt have the data for sacrifices and gambits which theoretically bad for some time but gives the edge to win the match.
Same can apply for markets, most algo systems are HFT( high frequency trading ) and they squeeze out the profits on very small spreads, this is simply not our territory. They have bigger corporate accounts with leased lines so brokerage and other trading cost comparative to their trading size is very low. Yes dynamics are changed as there must be more fake break outs and spikes like what happened in flash crash but there are always methods to deal with volatility.
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Old 15-03-2012, 11:59 PM
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Originally Posted by MatSol View Post
For every buyer there is a seller. For every delivery buyer, there is someone who is giving away delivery.

So how does it matter.

This is not the mater of how but matter of when and at what price.. when there is higher demand and less supply because most of the traders took the delivery in anticipation of price rise and not willing to sale then there is higher bid.. this is simple demand and supply though the transition is never linear and market travels through efficient and non-efficient phase.
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Old 15-03-2012, 11:59 PM
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Option 1 is total vol

Option 2 is delivery vol

now reduce 2 from 1 and u will have intraday vol.

but how and why it should be helpfull ?


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Old 16-03-2012, 12:03 AM
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how do u know they r not willing to sell ? may be they are buying stock and selling fut ?


Originally Posted by alex View Post
when there is higher demand and less supply because most of the traders took the delivery in anticipation of price rise and not willing to sale then there is higher bid.. this is simple demand and supply though the transition is never linear and market travels through efficient and non-efficient phase.

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