Forex Volume  [SOLVED]

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Zoli
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Forex Volume

Postby Zoli » 21 Jan 2013

Hi,

I am trying to get advantage of the Volume Profile in FX as well.
Am I correct in assuming that the Trade price is always the Bid price in case of a forex symbol?
If yes, that means that any volume indicator would take into consideration the Bid size and would disregard the Ask size.
In case of the Volume Profile using Delta mode with the Ask vs Bid Traded option would only show Down Delta (Sell volume) because current tick is always equal with the Bid volume unless the spread is 0 (please see attached screenshot). So, the only option to have Up Delta and Down Delta would be to set Up vs Down Tick mode, as this option would add Buy or Sell volume according to the direction the next tick goes. The problem with this option is that it would take into calculation only the Bid price to form Up and Down Volume.
Am I correct in assuming this or have I made a mistake in my thinking process?

If this is correct, may I suggest adding another option e.g. “Forex” in ‘Breakdown by’ list that would be sort of a combination of the two existing options? It would probably be a simple add-on as all it would need to do is to add to Buy volume only if the new tick’s Ask price is >= than previous and to Sell volume if its Bid price is <= than previous.
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MidKnight
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Re: Forex Volume

Postby MidKnight » 21 Jan 2013

This entirely depends on your data feed. Forex is a real mess when it comes to data consistency across providers, both in terms of "accuracy" and in what the data actually is from.

The best semi-reasonably priced FX data I have seen people talk about is the GTIS data that you can get from someone like eSignal. This is an aggregated feed from many many banks and you can even specify which banks to use if you desire. Due to the decentralized nature of the FX market, using volume could be misleading, try using tick volume instead. Just a bit more generalized. Most of the MD type study I've seen on FX is using tick volume. Just a thought for you.

With kind regards,
MK
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Re: Forex Volume

Postby Zoli » 22 Jan 2013

Hi MK,

Thanks for the reply.
I am fully aware that FX is not a centralized market and that volume is very much dependent on the broker, but I think if ‘the’ broker gets liquidity from the major liquidity providers, then basically one has a sample of a whole as multiple brokers possibly connect to same liquidity pool. I would not rely completely on volume trading the FX market (lol, I didn't trading ETFs either), the volume profile would be a good tool to have and watch at expected price reversal areas.
The problem using tick volume would be that it would still take into consideration only the bid volume and not the ask volume.
I placed two instruments on the same chart, one using bid the other ask quotes, enabled volume profile on both according to ask vs bid traded in delta mode. Seems to be fine except the fact that I can't get the actual Delta out of the two.
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Henry MultiСharts
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Re: Forex Volume

Postby Henry MultiСharts » 23 Jan 2013

Hello Zoli,

I have forwarded your suggestion to our developers.

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Re: Forex Volume

Postby Zoli » 23 Jan 2013

Hi Henry,

Many thanks, I suppose that would probably be good for MC as I personally don't know of any platform that does that.

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Re: Forex Volume

Postby Henry MultiСharts » 22 Mar 2013

We are going to add this functionality in one of the future versions of MultiCharts.
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Re: Forex Volume

Postby Laurentius » 25 Mar 2013

Hello Zoli,

I would just like to add that I have personally seen a comparison between a volume profile on Spot FX tick volume and CME total volume and it looks virtually the same. So I know that it does work well. That said this was done with IQFeed's FXCM and CME Currencies data.

With IQFeed Spot FX bid price is reported via Last Trade. There is no Ask data with the feed.

MidKnight mentioned GTIS, but GTIS has gone out on date. If people say it is a good composite feed, that is a very high over rate. eSignal has not upgraded or improved their GTIS system for a long time. The main carrier of the feed is FXCM data which has too many server connection drop outs with FXCM with which they do not have any restore procedures with. So you are left with the holes. Sometimes over several hours. I think this says something about how much they care about the GTIS feed. To solve the problem as best as possible I had to patch it with the PFGBest data in the composite. If one are using the composite feed and are not aware of the FXCM dropouts one will just think it is a lower volume period, but actually what one have is a false picture. After PFGBest left the arena FXCM has about four times higher tick volume than any of the other single providers. Even more with some of them. When comparing FXCM's tick volume "profile" to GTIS they looked virtually the same. So when taking the quality of GTIS in consideration the choice was not difficult.

Except from Icap EBS I have done a lot of comparisons with different brokers and Spot FX data feeds and the best there is when it comes to unfiltered tick volume for us retailers is IQFeed's FXCM data. The feed delivery is reliable and high, low, open, close prices are virtually the same all the time down to the 1 minute. The same goes with tick volume when you compare it to FXCM's MT 4 platform. FXCM's Trading Station II delivery has it's own story when it comes to that, but price levels are the same.

Laurentius
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Re: Forex Volume

Postby Zoli » 26 Mar 2013

Hi Laurentius,

Thanks for sharing.

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Re: Forex Volume

Postby Laurentius » 26 Mar 2013

You are welcome Zoli :)

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Re: Forex Volume  [SOLVED]

Postby Henry MultiСharts » 17 Jul 2013

This functionality has been added in MultiCharts 8.7 Release.
Please go to File->New->QuoteManager->Tools->DataSources->LMAX->Settings->enable “Build trade ticks from ask ticks and bid ticks” option.
You need to restart MultiCharts and all of its processes in order to make the option come into effect.
If you want your historical data to be built this way- you need to reload the tick trade chart after the option is enabled and MC is restarted.


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