Volume is the number of contracts or shares bought and sold each day in any given financial, commodity, index or currency instrument. High volume suggests that there is a heightened interest in the financial instrument, and if it is combined with a move higher in share price, then it is often used as a signal of strong upward momentum. Keeping an eye on volume will ensure that you are on the right side of the trade. In my own trading, I do keep an eye on volume. I'm aware of volume any time that volume might be a factor in my trading. In those cases, I will always have it displayed on my chart. When day trading, I want to see both contract/share volume, and tick or pip volume. Contract/share volume tell me how many contracts or shares are being traded, but tick or pip volume show me how many trades are actually being made.
Volume brings up the question of liquidity. A market might have a lot of contracts or shares being traded, but if those contracts or shares are being traded by very few traders, the market might lack liquidity. We see that in very thinly traded futures markets like feeder cattle and lumber. We might see that situation in a thinly traded stock.
Conversely, there might be many trades being made, but contract or share volume could be very small, creating a lack of liquidity for a trader of large size. Good liquidity would see lots of trades being made for a lot of shares, or contracts.
What you want to see is correlation between trades, per hour and shares or contracts per hour. Divergence between the two, could indicate good liquidity or lack of liquidity. For example, right before a report is due to come out, you might see a lot of trades being made, but not a lot of shares or contracts. Can you see that volume is telling you that there are a lot of small traders in the market who are ignorant of the report coming out, while the big, knowledgeable traders are holding back until they see what is in the report?