Volume analysis studies where and when trades occur and how visible orders change. It combines raw data with different representations: volume, book, tape, delta, footprint and profiles are not interchangeable terms.
In plain terms — Market events come first: orders and executions. Charts group those events afterwards. Learning that order prevents an indicator from being credited with information its feed never contained.
The data map
| Layer | Question | Key pages |
|---|---|---|
| Executed volume | How much traded? | |
| Visible liquidity | Which orders are still waiting? | |
| Event sequence | What was entered, changed or executed? | |
| Derived measures | How are classified trades aggregated? | |
| Distribution by price | Where does sample volume cluster? |
The orders, execution and market microstructure path completes this map with order types, costs, routing and execution quality.
For derivatives, open interest adds a different measure: it counts contracts still outstanding, not trades completed during the period.
Recommended path
- Start with Trading volume and the Order book: separate completed trades from waiting orders.
- Read Order flow: define the venue, feed and event being observed.
- Move to Volume delta and Cumulative Volume Delta: first the balance, then accumulation and reset.
- Open the Footprint chart: it also retains the location of trades inside a bar.
- Study Volume Profile: it changes the axis and distributes volume by price.
- Only then configure the CVD indicator and Volume Profile reproducibly.
Boundaries of the discipline
The book can expose only published liquidity; a trade feed may cover one venue; aggressor side may be supplied or inferred. Tick size, session, time zone, aggregation and historical coverage all change the display. An extreme delta, a POC or a footprint cell therefore describes the dataset. None identifies the participant, purpose of an order or future price on its own.
Market Profile and Volume Profile also need to be kept separate. The former comes from J. Peter Steidlmayer’s tradition and organises time-price opportunities or TPOs; the latter aggregates volume by price. The historical path is in Steidlmayer tradition.
Sources
- CME Group, Market by Price Multiple Depth Book — documents available quantity and order count at each price level in a Market by Price book.
- CME Group, Order Functionalities — Order Aggressor Indicator — defines an aggressing order and its relationship with resting orders.
- Sierra Chart, Tick by Tick Data Configuration — separates executed volume from market depth and documents data-at-price requirements.
- Lee and Ready, Inferring Trade Direction from Intraday Data, Journal of Finance (1991) — primary research on inferring trade direction when side is not observed directly.
- CME Group, Open Interest — distinguishes the stock of outstanding derivative contracts from volume traded during a period.
- Chicago Board of Trade, CBOT Market Profile®, Part I: Reading the Market Profile Graphic, 1996 — documents TPOs, time brackets, and the structure of the historical Market Profile.