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VB for SPY buy volume is very low compared to sell volume

John Booker
asked this on October 24, 2010 16:00

Hi, 

Attached is a screen shot of SPY with a VB chart in the top pane.

The VB pane is showing "ask traded vs bid traded" volume with both sell( red, negative) and buy volume as histograms

In the screen shot i zoomed in to a few days, but during the whole month of october( all the tick data i have ) the SPY sell volume is very high compared to the buy volume.

Even on the up days, like 10-20-2010( please see attached image ) the buy volume is very low compared to the sell volume.  

I expected to see more buy volume on up days and more sell volume on down days.

The tick data is from the DTN Market Access backfill service

Most of the time I see examples and demos with the VB indicator, ES is usually used.  Is VB only useful for index futures type of instruments ? 

Anybody else ever look at October SPY VB charts, perhaps with a different data provider than mine(DTN Market Access backfill service) ?

Am i just missing something ?

Any thoughts and comments are appreciated,

Thanks 

 
 

Comments

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White Tiger Financial - Bob Hoffman

The VB indicator will often appear very different when comparing futures instruments to equities. This is mostly due to the wider spreads in equities. It's very easy for the SPY to uptick and immediately have traded volume at the bid. This can end up appearing like price is moving up on negative volume. I trade ETF and equity indexes myself, but almost exclusively use footprint and VB data from the ES to trade the ETF's, due to this very anomaly.

October 25, 2010 08:04
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John Booker

Thank you for that info, never even thought of using VB from the ES to trade SPY( really SSO and SDS ), thats a good idea 

October 25, 2010 22:27
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Andrew Stoeckley
MarketDelta LLC
Ajax_loader_small Answer

The problem with this particular chart is the display format for the SPY. If the display format is not set correctly, the VB is inaccurate. Stocks require a display format of 99.99. This chart is set to "halves," it looks like.

The VB does in fact work as expected for SPY, see this screenshot for today's chart:

http://www.charthub.com/images/2011/02/22/Untitled_11_7.png

You just have to make sure the symbol for SPY or any stock is set to a display format of 99.99 rather than just 99 which is the default. This includes the cents in the price markers, which dramatically affect accurate VB readings.

So, the conclusion is that yes, VB works acceptably for any stock.

February 22, 2011 13:32
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