Volume profile in 6E- Split for ETH & RTH or does it matter?

permalink · February 2nd, 2015, 06:29 PM

I am wondering if it is worth it having a split session volume profile for regular trading hours/electronic trading or since FX is a market that trades 23 hours a day, just one profile?

I understand why an ES trader would split sessions since the underlying (stocks) trade during RTH. It doesn't seem to be a valid argument for currency futures.

I am very new to the volume profile and don't want to make it more complicated than it has to be.

permalink · February 3rd, 2015, 06:01 AM

I would not split the profile for currency futures, because this cannot be considered a regional market.

Splitting makes more sense for index and interest rate futures, as the underlying markets are not liquid outside the regular trading hours.

I agree with you.

permalink · February 26th, 2015, 06:26 PM

For volume profile, I personally prefer strictly the 23 hour calculation. If you were using traditional market profile based upon time and not volume, then maybe you would split that up to not overweight a low volume Tokyo session for the Euro.

There are also some indicator versions that will paint three different colors on the market profile, one for Tokyo, one for London, and one for NY to help you distinguish where volume was in each session on the profile itself. That might be the best of all worlds for what you're looking for.

Volume profile in 6E- Split for ETH & RTH or does it matter?

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Volume profile in 6E- Split for ETH & RTH or does it matter?