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Real volume vs. tick volume in spot forex
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Created: by Jason Rogers Attachments:0

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Real volume vs. tick volume in spot forex

  #1 (permalink)
New York
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Jason Rogers's Avatar
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Real volume vs. tick volume in spot forex

Hi everyone,

I was hoping to get your thoughts on the following. Below is a chart showing the Real Volume (top), Transactions (middle) and Tick Volume (bottom) for EUR/USD on a 1-minute chart during today's NFP announcement.
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To clarify:
  • Real Volume shows how many currency units traded
  • Transactions show how many orders executed
  • Tick Volume shows how many times prices updated

I noticed that Real Volume and Transactions spiked much higher relative to Tick Volume during the minute NFP was released. What could the relative differences between these indicators mean if anything?

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  #2 (permalink)
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  #3 (permalink)
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Could be interesting conclusions... (Perhaps general conclusions).

Have to think about it...

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  #4 (permalink)
Posts: 1 since Oct 2014
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what is that platform and data feed ???

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  #5 (permalink)
London England
Posts: 7 since Dec 2014

Jason Rogers View Post
I noticed that Real Volume and Transactions spiked much higher relative to Tick Volume during the minute NFP was released. What could the relative differences between these indicators mean if anything?

During events such as NFP the bid/offer gets significantly quantized such that there is little continuous action from one level to the next through all intervening levels. For instance it probably dropped from 3640 to 3620 without offering out at at many other levels in between. Action is 'chunky' rather than the more normal transitional phase. Even on fast markets there is typically a smoother transitional move along the bid/offer ticks range.

I was surprised to note how little difference there was between the real volume and transactions profiles. This is a good indicator of predominantly retail (small) order sizes being transacted. If professional money had been in the mix, you would have seen a somehwat different relationship. There would have been less of a spike on the transactions relative to the real volume as larger orders would have been going through.

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