If you have been in the trading room this week or have been reading the daily chat transcripts you would have noted the references to the time algos we have been making in the trading room.
Credit to the method used in these charts must be given to SharesTrader a.k.a Vandana who has been working on this method for a long time in her charts.
When she brought it to my attention, I immediately noted that the big volume surge would mean a strong institutional hand and the impact of that would be more than a few points in the NF or the BN.I also deduced that as the volumes occurred over an extremely short period of time ( 6- 30 seconds) it had to be institutional activity, though there would be no way we can confirm the same.
In yesterday's trade we pointed to two algos at 4874 in the NF and 9374 in the Banknifty and the market never made it above these levels in the day's trade.
In the charts above, the second pane is the time taken to complete the bar based on volume traded /total trades of that bar. As can be seen when big volume hits, the time taken to fill the bar is much less and and as result we know that there is institutional interest in the market.
In the third pane below I've tried to qualify the volumes based on our proprietary OF method we use to get our signals. A deep red in this pane will show that the volume was actually a seller driven volume.
Here are the Time and sales windows of the two bars pointed in the chart. Note the big volumes.
We plan to add these indicators to The OF charts from Monday .They will give screen alerts or flags on the charts.
Please note the following when deciding trade bias based on these signals :
1) There are multiple algos at work at any given time and a sell algo can be easily over-ridden by a buy algo a few seconds/ points later
2) There are market mechanisms in place to hide Order Entry and hence not every single algo can be detected by this system.
3) The levels are approximate and may be over-ridden by a few points occasionally ( important if you are setting stops around these points)