Volume on Futures: CME Exchange Data and How to Read It

Volume counts the trades actually made, and you can trust it only where there is a centralized exchange. On the futures of the CME exchange the volume is real, while on Forex there is none at all, there they show only tick volume. So for analysis I lean on the real data of CME, not on a broker's ticks.

Volume analysis works exactly as far as the volume data itself is honest. And here between markets there is a huge difference. On futures the volume is real and centralized, on stocks it is fragmented, and on Forex it essentially does not exist. Let's go through where volume can be believed, where it cannot, and why I build the analysis around CME data.

In this article we'll cover:

• volume is honest only where there is a centralized exchange;
• on CME futures the volume is real and can be trusted;
• on Forex there is no real volume, there is only tick volume;
• the real CME data is what I take as the basis of analysis.

Let's start with what is even considered exchange volume.

What Exchange Volume on Futures Is

Exchange volume is the quantity of really concluded trades that passed through a centralized exchange order book, that is the actual number of contracts bought and sold over a period. On futures this works perfectly. Each trade on a contract passes through a single exchange, for example through CME, and falls into common accounting. So the volume you see on a futures chart is the real, full activity on the instrument, not someone's sample.

For me this is fundamental: all my volume analysis of the market is built on the fact that the volume figures can be trusted. If volume is real, by it you can see where large capital was active, and that is the foundation of the whole method. What volume is and how to read it is covered in detail in the course.

The CME Exchange and Futures Volume: Why You Can Trust It

The reason for the trust is simple: centralization. On the CME exchange all trades on a specific futures contract pass through one central record, so the volume reflects all the trading on the instrument, not a part. This is not at all like the stock market. There the volume is real but fragmented between dozens of venues and closed dark pools, and a notable share of trades passes outside the main exchange, so a full picture in the moment cannot be obtained.

Futures, though, have pleasant bonuses besides the volume itself: open interest, that is the number of unclosed positions, and reports on the composition of market participants. All of this is public data of a regulated exchange, hard to fake. How to connect and read CME volume right in the terminal I show in the video on setting up volume analysis.

Tick vs Exchange Volume and How to Use CME Data

On Forex everything is different, and here lies a trap for a beginner. Forex is a decentralized over-the-counter market, it has no single exchange that would bring all volume together. So the terminal shows not real volume but tick volume, that is simply the number of price changes over a period. It is the count of moves, not the count of contracts traded. The problem is that each broker's tick volume is its own and reflects the flow only of its clients, not of the whole market. At best it is a rough substitute that roughly hints at activity, but I would not build serious conclusions on it. The same trouble is with crypto on unregulated exchanges: volumes there can be painted, and you cannot believe them blindly.

Hence my practical approach. I analyze volume on CME futures even when a currency interests me: the future on a currency pair and the pair itself move almost identically, so real volume from CME serves perfectly as a reference. I look at the spikes and clusters of volume, at where it sharply grew on a reversal or absorbed a move, and read by this the actions of large capital. Then everything converges with my main toolkit: I overlay real volume on levels and the phases of the Wyckoff method, and the picture becomes voluminous in the literal sense. Where to even start and what a beginner should trade is also covered in the free course.

My Take: Trust the Data First, Read the Volume Second

Volume analysis is only as good as the honesty of the data, and that is the rule I have followed since I have been trading since 2013: I take data that can be trusted, the real contract volume from CME, and do not waste time on tick surrogates. This is not advice for you personally, it is how I work, including on currencies, where I read the CME future as a proxy because the pair and its future move almost in step. The honest limitation is that a CME future is not literally the same instrument as a spot pair, so the proxy is a reference rather than an exact mirror; but a real, centralized contract volume tells me far more about where large capital acted than a broker's tick count of its own clients, which is why I would rather read an honest proxy than a misleading direct number.