Real volume vs. tick volume in spot forex

Discussion in Currencies

Updated December 22, 2014

Top Posters

taufikhak with 2 posts (0 thanks)
Quick Summary with 1 posts (0 thanks)
kajo22 with 1 posts (0 thanks)
Jason Rogers with 1 posts (1 thanks)

10,599 views
2 thanks given
6 followers

Search this Thread

Real volume vs. tick volume in spot forex

July 3rd, 2014, 03:24 PM

#1 (permalink)

Jason Rogers

New York

Vendor: www.fxcm.com

Experience: Intermediate

Platform: Strategy Trader

Posts: 166 since Aug 2010

Thanks Given: 122

Thanks Received: 153

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.

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?

If you have questions about our services at FXCM please send me a Private Message.

Reply With Quote

Thanked by:

Can you help answer these questions
from other members on NexusFi?

Kalshi Sets $4.13B All-Time Weekly Record as Polymarket …

Prediction Markets & Event Contracts

Orban Crashes to 21pct on Record Turnout -- McIlroy Drop …

Prediction Markets & Event Contracts

The Great Rotation -- Small Caps Crushing Tech as Sectio …

Traders Hideout

GDP Day: The First Economic Reckoning -- Pahlavi at 6.55 …

Prediction Markets & Event Contracts

Warsh Confirmed 54-45 on PPI Day -- 97% Say He Holds in …

Prediction Markets & Event Contracts

Best Threads (Most Thanked)
in the last 7 days on NexusFi

Sober Journey With S&P

21 thanks

2026 Jlab journal

10 thanks

Algo automated / semi-automated trading anyone?

6 thanks

Lady Vols Primer: Trading Volatility Journal

6 thanks

Trying to learn Volume and price action correlation

5 thanks

August 31st, 2014, 12:50 PM

#3 (permalink)

Wikmar

Madrid - Spain

Experience: Advanced

Platform: Own (more or less)

Trading: S&P500, FDAX, €/$, CL, etc.

Posts: 141 since May 2014

Thanks Given: 1,653

Thanks Received: 121

Could be interesting conclusions... (Perhaps general conclusions).

Have to think about it...

Home people force
https://wikmar.wordpress.com/

Reply With Quote

December 20th, 2014, 09:32 AM	#4 (permalink)
kajo22 croatia Posts: 1 since Oct 2014 Thanks Given: 0 Thanks Received: 0	what is that platform and data feed ???

December 22nd, 2014, 06:08 AM

#5 (permalink)

AJStanbridge

London England

Posts: 7 since Dec 2014

Jason Rogers

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.

Reply With Quote

Last Updated on December 22, 2014

NexusFi

About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Downloads - Top

no new posts