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Order Flow in InteractiveBrokers?

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Order Flow in InteractiveBrokers?

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  #1 (permalink)
Posts: 27 since May 2020
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How do we use the Order-Flow in Spot Forex trading(major pairs) in our favor in the InteractiveBrokers? Where we set it?

Whether is it make difference to use IdealPro/FXconv/IBalgo for order-management/placing-order to use either of these alongside Order-Flow?

Thanks in advance
Best of luck

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  #2 (permalink)
Nürnberg, Germany
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as far as I know, InteractiveBrokers does not deliver tick data. So it appears not to make sense to work with order flow under these circumstances.

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  #3 (permalink)
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PowerM View Post
as far as I know, InteractiveBrokers does not deliver tick data. So it appears not to make sense to work with order flow under these circumstances.

I agree that you need a separate data service (other than IBKR's internal filtered tick data) in order to use order flow to trade futures with IBKR.

I'll try to answer the more general question: how to apply order flow to spot forex trading (regardless of broker).

While there is no centralized exchange, I have found that using tick-count volume as an analog to true volume is perfectly close enough. People will argue with this, and I am not saying it is precisely the same. I am only saying that using tick volume as an analog for real volume is good enough for purposes of applying order flow analysis.

Further, we have the question of how to differentiate between aggressive buys and aggressive sells, i.e, whether the trade or tick (because ticks are our volume measure) is an aggressive buy or aggressive sell. The way I've done this, is to look to which price the transaction or tick occurred at--whether it occurred at the bid or the ask. Each tick (which is an item of data) contains a value for bid price, a value for ask price, and a value for last price.

Remember that the "forex market" is really just your broker's dealing desk or the ECN that your broker sends your orders to. And for every tick that you receive from your broker or data provider, the tick (or transaction) will (at least 99% of the time) occur at either the bid or the ask. So if the "last price" equals the "bid price" than the transaction occurred at the bid, and I call it an aggressive sell and passive buy. If last price equals the ask price on that tick, I call it an aggressive buy and passive sell. Fairly simple, really.

In sum, knowing the tick volume and whether the tick was an aggressive buy or aggressive sell is really all the data you need to apply order flow analysis to spot forex. You can build footprint charts, cumulative delta, volume profiles, VWAP, etc with that data.

Now, the question is, does your forex trading platform support this type of analysis as applied to spot forex data? NT8 order flow package does if you set delta type to "up/down tick", which might be slight different than what I explained above. I just can't remember, so maybe to their support forum for better info than what I can give.

An additional question is whether the forex market tends to "respect" order flow analysis in the same way that the US futures market does. It does but to a lesser extent than the futures market does, imo. But it's all about how you use the tool, rather than how "good" the tool is on its own.

Bottom line, yes order flow analysis can be used in the spot forex market. Whether it is effective will depend on the user, as is the case with order flow on absolutely any market.

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June 1, 2020

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