Hi all,


I'm trying to setup the vol (volume indicator) on a NinjaTrader chart and the volume is displaying just fine on a time chart, but when I try to display it on a tick/volume chart type the indicator just seems to max out the bar (as attached).

I've had a search online and this looks like something that should be working for me so would appreciate some help.

This is with FXCM demo connection that I'm trying out.



Thanks,

Sandeep

For a centralized exchange it is easy to get volume data, as all volume contracted is counted by the central matching engine. This is not the case for decentralized markets.

FOREX instruments are traded across various electronic communications networks. There is not centralized exchange and the total volume traded across the communications networks is not known. FOREX data feeds therefore often come without volume data.

Better FOREX feeds come with a substitute for volume which is tick volume. Tick volume does not count the real volume traded in $$$, but simply counts the number of FOREX transactions per time. Tick volume is not a bad substitute for real volume. For most purposes, such as calculating volume-weighted averages, doing volume spread analysis, identifying high volume bars or cumulative delta analysis it can be used without restrictions.

FXCM is one of the FOREX data feeds that comes with tick volume, and you have just proved it. If a data provider supplies tick volume, you should always notice the same volume on a tick chart. If you select a 233-tick chart, the volume should be 233 for each bar.

NinjaTrader cuts off the last bar at the session break. Therefore that last bar of the session should have a lower tick volume than the other bars of the session. The only thing that I do not understand on your chart is the one large bar, which has a higher tickvolume than the tickcount.

Fat Tails 

For a centralized exchange it is easy to get volume data, as all volume contracted is counted by the central matching engine. This is not the case for decentralized markets. FOREX instruments are traded across various electronic communications networks. There is not centralized exchange and the total volume traded across the communications networks is not known. FOREX data feeds therefore often come without volume data. Better FOREX feeds come with a substitute for volume which is tick volume. Tick volume does not count the real volume traded in $$$, but simply counts the number of FOREX transactions per time. Tick volume is not a bad substitute for real volume. For most purposes, such as calculating volume-weighted averages, doing volume spread analysis, identifying high volume bars or cumulative delta analysis it can be used without restrictions. FXCM is one of the FOREX data feeds that comes with tick volume, and you have just proved it. If a data provider supplies tick volume, you should always notice the same volume on a tick chart. If you select a 233-tick chart, the volume should be 233 for each bar. NinjaTrader cuts off the last bar at the session break. Therefore that last bar of the session should have a lower tick volume than the other bars of the session. The only thing that I do not understand on your chart is the one large bar, which has a higher tickvolume than the tickcount.

Hi great feedback as always 'Fat Tails'

Yes I'm aware that fx is decentralised and as you say that (for lack of better phrase) no 'real volume' data exists but because the product I was looking at was 'crude oil' I was hoping the broker would provide the exchange's volume data for my analysis rather than the tick volume. Eg in my view it's important to know that the batch of 150 ticks is made up of 1000 contracts or 10000 contracts.

And hence my question. Honestly perhaps more than anything I was a little hopeful that I was doing something wrong and that it wasn't a data issue :-) but certainly it does appear that all of the products (fx and non fx) are displaying tick volume data, rather than the more detailed contractual volume from the exchanges. Note: I've validated this by connecting to another provider and running the same test.

Most likely FXCM are displaying tick volume for centralised markets like crude/indices to save on fees and/or to standardise the IT process for handling volume at their end. Given they are primarily an FX house makes sense.

At this point my choice is to see if I can plug in someone else for data (unfortunately at an additional cost), or find another broker that also does spread betting and displays the contractual volumes.

One more thing on the official NT support pages I've seen a thread requesting an update to the connection settings to flag what type of volume data is selected. So we can all know upfront. To my mind hopefully that will provide more transparency around data for us all.

Thanks.

Sand.