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Building an ATS - Logbook
- Thread starter tiagor
- Start date
Quote from vincegata:
Right about backtest, thanks for contributing.
I do use tick volume in FOREX. You will definitely not be seeing the whole market but I find it useful nonetheless to work out patterns of distribution/accumulation through relative volume analysis.
Some might disagree so just work with whatâs useful to you.
Quote from tiagor:
I do use tick volume in FOREX. You will definitely not be seeing the whole market but I find it useful nonetheless to work out patterns of distribution/accumulation through relative volume analysis.
Some might disagree so just work with whatâs useful to you.
Have you thought of subscribing to tick data from another broker (maybe a prime broker) that shows the volume traded by big banks/market makers? That would be a better estimate of where the whole market is going than getting volume from MBT. I am considering of going that route. There is website www.truefx.com by Integral (Integral is a large ECN) that provides free bid/ask real time quotes but, unfortunately, not last traded price/volume.
Quote from vincegata:
Have you thought of subscribing to tick data from another broker (maybe a prime broker) that shows the volume traded by big banks/market makers? That would be a better estimate of where the whole market is going than getting volume from MBT. I am considering of going that route. There is website www.truefx.com by Integral (Integral is a large ECN) that provides free bid/ask real time quotes but, unfortunately, not last traded price/volume.
From their site, "MB Trading FX receives quotes from multiple banks, partners, and pools of liquidity". That being said, volume in Forex is not a transaction count. There is no time and sales data, just tick movement, which in MBT comes from their ECN connections.
I remember reading somewhere that there is a positive correlation between tick volume to real volume, which was verified on instruments where both data can be collected. Since I am only interested in relative volume over time, it is of no real consequence that I'm using tick movement instead of real transaction volume (which would be impossible to have in FX anyway).
In summary, you'll get slightly different tick volume from different providers but high tick volume and low tick volume should be clearly identifiable and reasonably correlated on any ECN broker.