Zondor I have noticed that there are times when it displays a trade size in two groups. I have my settings at 4,9 and 14. Two Buy orders came through for 10 and 15. It put the 15 in the XLarge Buys but combined them for 25 on the Large Buys. I've thought I've seen this before but wasn't sure. Now I have a screenshot of it. It is also set for "Volume in Levels". Any idea why it might be counting a trade size twice?
The following user says Thank You to Aragorn for this post:
I continue to see the Trade Size Analyzer display the same trade count in two different group sizes.
I also believe that if data is collected using NinjaTrader Replay data at a fast speed, the Trade Size Analyzer may not give an accurate display of the trades that occurred. I am going to continue to test this belief.
I am not sure that using volume on forex instruments is really worth it. The CME forex futures are really an afterthought in that the vast majority of the forex market is over the counter (non-exchange transactions). The notional value of 6E is tiny tiny compared to the interbank market.
Even in the interbank forex market EBS/Reuters don't publish true time and sales. They just publish dealt prices. There's no way to discern from this whether a given print is for 1 Million or 100M EUR/USD.
The following user says Thank You to Traderji for this post: