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Volume for FX
Started:August 18th, 2011 (04:52 AM) by diverdan Views / Replies:1,996 / 3
Last Reply:August 18th, 2011 (06:57 PM) Attachments:3

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Volume for FX

Old August 18th, 2011, 04:52 AM   #1 (permalink)
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Volume for FX

I always assumed that you could never do volume based trading on FX as there is no centralised exchange until I recently read a post by Fat Tails:

Fat Tails View Post
Note that FOREX volume can be approximated with tick volume. Many FOREX retails firms actually transmit volume information based on ticks.

And yes, tick volume can be exploited in a similar fashion as real volume.

Any one know how to set this up on MultiCharts?



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Old August 18th, 2011, 05:20 AM   #2 (permalink)
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diverdan View Post
Any one know how to set this up on MultiCharts?

What broker are you using? What problem are you having?

If you are talking about CME FX Currencies secondary market, then firms like DTN use FXCM as a source for volume. I'm not sure what volume would look like on Rithmic or TT on this secondary market, never tried it to be honest as I always just use IQFeed.

If you are talking about a forex broker, like MB Trading or Oanda, they will show you their own volume.

Both price & volume from one dealer to another, or from a dealer vs CME secondary market - is not going to match.

In either case you don't need to do anything special in MultiCharts for it to show up.


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Old August 18th, 2011, 06:46 AM   #3 (permalink)
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What is Tick Volume?

Nearly all data providers and brokers who provide volume information for FOREX actually show tick volume.

eSignal's user guide states: "The volume histogram for Forex issues represents the number of transactions or ticks and not true "trade size" activity. It's much like most pit-traded futures contracts, where the volume histogram reflects the volume of transactions or updates during each given interval. This is also why you'll see a volume histogram on an intraday chart but not on daily, weekly, and monthly.

Reuters Forex Volume is based on forex activity of the 800 contributing banks, as measured in ticks. This means that volume represents the number of recorded bid/ask changes that occured. BarChart, FXCM and Tenfore also supply tick volume for FOREX.

The EURUSD charts below show tick volume as retrieved from FXCM and Tenfore.

Some brokers do not offer volume information at all. In this case you can create your own tick volume indicator - either counting the number of ticks per bar or counting the number of bid/ask changes per bar. This will allow you to display a proxy for official tick volume by using the ticks from your data feed.

Attached Thumbnails
Volume for FX-volume-fxcm.jpg   Volume for FX-volume-tenfore.jpg  

Last edited by Fat Tails; August 18th, 2011 at 07:23 AM.
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Old August 18th, 2011, 06:57 PM   #4 (permalink)
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I came across Multicharts for the first time yesterday as I was searching for Point and Figure charting (what an arduous search, but that's another story for another day). Anyway, I downloaded the free version and was happy to find they accept the esignal data feed.

As VSA is my main analysis method I already had access to a feed through having Tradeguider. I quite like the program and i'm finding it pretty easy to use. Thinking of changing over to it from Tradeguider in fact. The point and figure charting is a big plus for me.

Anyway, getting to the point, if you want to add volume to your chart in Multicharts, it's pretty simple, load up a chart, right click, add study and find volume in the list of options. Simples.

Attached is a 1hr of EUR/USD. (excuse the lack of price on the right hand side, i didn't set up the colour properties properly!)

Attached Thumbnails
Volume for FX-multicharts-eu-1hr.png  
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